Trend-Following Backtester · Guide · backtest 한국어
equity · GB
M&G Plc backtest
10 trend-following strategies were compared on the full daily history of M&G Plc. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.5%, MDD -41.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.1%, drawdown -62.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.9%, MDD -4.3%, Sharpe 0.60, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.7%, MDD -45.9%, exposure 94%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.2%p lower than buy and hold, while drawdown improves by 58.4%p (CAGR 9.5%, MDD -41.3%, exposure 54%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=15, threshold=37 |
1.9% | -4.3% | 0.60 | 0.43 | 1.1x | 6 | 4% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=14, mult=3.1 |
1.6% | -3.8% | 0.59 | 0.43 | 1.1x | 4 | 4% |
| SMA 크로스오버 fast=43, slow=185 |
9.5% | -41.3% | 0.55 | 0.23 | 1.9x | 11 | 54% |
| Donchian 채널 돌파 entryN=1, exitN=42 |
10.7% | -45.9% | 0.49 | 0.23 | 2.0x | 47 | 94% |
| Supertrend period=25, mult=3.3 |
4.6% | -38.3% | 0.31 | 0.12 | 1.4x | 38 | 64% |
| ROC 모멘텀 n=134, threshold=0.13 |
3.3% | -30.0% | 0.30 | 0.11 | 1.3x | 52 | 32% |
| MACD fast=12, slow=38, signal=16 |
2.4% | -43.0% | 0.22 | 0.06 | 1.2x | 94 | 51% |
| Parabolic SAR step=0.025, maxStep=0.06 |
2.3% | -40.4% | 0.21 | 0.06 | 1.2x | 104 | 60% |
| 볼린저 밴드 돌파 n=60, k=1.2 |
2.1% | -34.9% | 0.21 | 0.06 | 1.1x | 37 | 44% |
| EMA 크로스오버 fast=13, slow=170 |
-4.1% | -62.7% | -0.13 | -0.07 | 0.8x | 29 | 56% |
| Buy and hold | 7.1% | -62.7% | 0.37 | 0.11 | 1.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 15-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)