Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Moonpig Group Plc backtest
10 trend-following strategies were compared on the full daily history of Moonpig Group Plc. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.3%, MDD -9.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -7.1%, drawdown -78.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.7%, MDD -17.4%, Sharpe 0.47, 16% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.5%, MDD -32.5%, exposure 38%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.8%p higher than buy and hold, while drawdown improves by 61.5%p (CAGR 2.3%, MDD -9.1%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=115, exitN=38 |
5.7% | -17.4% | 0.47 | 0.33 | 1.4x | 5 | 16% |
| ADX / DI 방향성 period=14, threshold=37 |
2.3% | -9.1% | 0.41 | 0.26 | 1.1x | 7 | 5% |
| SMA 크로스오버 fast=22, slow=218 |
6.5% | -32.5% | 0.40 | 0.20 | 1.4x | 13 | 38% |
| ROC 모멘텀 n=96, threshold=0.13 |
4.9% | -21.8% | 0.39 | 0.22 | 1.3x | 23 | 21% |
| EMA 크로스오버 fast=53, slow=186 |
5.8% | -27.2% | 0.37 | 0.21 | 1.4x | 5 | 38% |
| MACD fast=9, slow=45, signal=10 |
5.8% | -28.1% | 0.34 | 0.21 | 1.4x | 85 | 49% |
| 볼린저 밴드 돌파 n=49, k=3.3 |
2.0% | -18.8% | 0.26 | 0.11 | 1.1x | 5 | 8% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=23, mult=3 |
1.3% | -18.8% | 0.18 | 0.07 | 1.1x | 7 | 11% |
| Supertrend period=29, mult=3.5 |
-6.8% | -57.8% | -0.15 | -0.12 | 0.7x | 23 | 45% |
| Parabolic SAR step=0.04, maxStep=0.2 |
-10.0% | -56.9% | -0.23 | -0.18 | 0.6x | 189 | 49% |
| Buy and hold | -7.1% | -78.9% | 0.02 | -0.09 | 0.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 115 days
- Sell — Sell when price breaks below the lowest low of the last 38 days