Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Melrose Industries PLC backtest
10 trend-following strategies were compared on the full daily history of Melrose Industries PLC. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.2%, MDD -38.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.6%, drawdown -72.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.1%, MDD -12.8%, Sharpe 0.66, 5% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.2%, MDD -38.7%, exposure 48%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.5%p lower than buy and hold, while drawdown improves by 59.3%p (CAGR 10.2%, MDD -38.7%, exposure 48%).
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=45, threshold=41 |
5.1% | -12.8% | 0.66 | 0.40 | 3.1x | 4 | 5% |
| Donchian 채널 돌파 entryN=59, exitN=33 |
10.2% | -38.7% | 0.47 | 0.26 | 9.0x | 56 | 48% |
| SMA 크로스오버 fast=20, slow=104 |
8.4% | -54.8% | 0.41 | 0.15 | 6.3x | 62 | 57% |
| EMA 크로스오버 fast=27, slow=124 |
6.9% | -64.3% | 0.36 | 0.11 | 4.6x | 54 | 58% |
| Supertrend period=7, mult=5 |
6.7% | -54.3% | 0.36 | 0.12 | 4.4x | 72 | 60% |
| 볼린저 밴드 돌파 n=20, k=3.5 |
3.1% | -45.6% | 0.33 | 0.07 | 2.0x | 14 | 4% |
| MACD fast=24, slow=72, signal=24 |
3.4% | -66.4% | 0.26 | 0.05 | 2.2x | 195 | 54% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=20, mult=2.9 |
3.4% | -66.8% | 0.26 | 0.05 | 2.2x | 70 | 34% |
| ROC 모멘텀 n=191, threshold=0.11 |
3.4% | -59.1% | 0.25 | 0.06 | 2.1x | 154 | 42% |
| Parabolic SAR step=0.005, maxStep=0.32 |
1.6% | -72.9% | 0.20 | 0.02 | 1.4x | 179 | 50% |
| Buy and hold | 9.6% | -72.1% | 0.43 | 0.13 | 8.0x | 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, 45-day) is ≥ 41
- Sell — Sell when direction flips or the trend weakens (ADX < 41)