Trend-Following Backtester · Guide · backtest 한국어

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Marshalls plc backtest

10 trend-following strategies were compared on the full daily history of Marshalls plc. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.5%, MDD -29.2%).

Data 1988-07-01 ~ 2026-07-31daily bars 9,766 (38.1 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 1.1%, drawdown -85.6%).

Sharpe leader (same as main): Supertrend — CAGR 4.2%, MDD -75.5%, Sharpe 0.30, 54% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 10.1%p (CAGR 1.5%, MDD -29.2%, exposure 8%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=15, mult=2.6
4.2%-75.5%0.300.064.8x33354%
Donchian 채널 돌파
entryN=44, exitN=33
3.3%-56.6%0.270.063.5x12945%
ADX / DI 방향성
period=81, threshold=21
1.5%-29.2%0.250.051.8x228%
SMA 크로스오버
fast=10, slow=63
2.9%-62.5%0.240.053.0x19354%
ROC 모멘텀
Hold-like · Exposure 99%
n=5, threshold=-0.11
1.4%-82.8%0.200.021.7x10599%
볼린저 밴드 돌파
n=65, k=1.7
1.8%-62.4%0.190.032.0x14537%
EMA 크로스오버
fast=9, slow=77
1.8%-67.4%0.190.032.0x19554%
MACD
fast=22, slow=51, signal=24
1.0%-68.4%0.150.021.5x32551%
Keltner 채널 돌파
emaPeriod=59, atrPeriod=25, mult=2.6
0.7%-53.7%0.120.011.3x16634%
Parabolic SAR
step=0.025, maxStep=0.06
-0.2%-85.7%0.10-0.000.9x53351%
Buy and hold1.1%-85.6%0.190.011.5x1100%
1x 10x 1989 1994 1999 2004 2009 2014 2019 2024 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -43% -64% -86% 1989 1994 1999 2004 2009 2014 2019 2024 Buy and holdSupertrend
Supertrend maximum drawdown -75.5% (2002-03-15 → 2009-01-14), recovered after 4,764 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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