Trend-Following Backtester · Guide · backtest 한국어
equity · GB
National Grid plc backtest
10 trend-following strategies were compared on the full daily history of National Grid plc. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.9%, drawdown -43.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.8%, MDD -44.3%, Sharpe 0.31, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=5, threshold=-0.15 |
4.8% | -44.3% | 0.31 | 0.11 | 4.2x | 7 | 100% |
| SMA 크로스오버 fast=75, slow=175 |
3.1% | -48.5% | 0.25 | 0.06 | 2.5x | 39 | 61% |
| ADX / DI 방향성 period=35, threshold=39 |
1.1% | -12.6% | 0.24 | 0.09 | 1.4x | 16 | 4% |
| EMA 크로스오버 fast=49, slow=227 |
2.6% | -56.7% | 0.23 | 0.05 | 2.2x | 35 | 63% |
| Donchian 채널 돌파 entryN=87, exitN=104 |
2.3% | -55.3% | 0.21 | 0.04 | 2.0x | 31 | 62% |
| Supertrend period=22, mult=4.6 |
-3.3% | -76.7% | -0.04 | -0.04 | 0.4x | 152 | 57% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-3.4% | -68.2% | -0.08 | -0.05 | 0.3x | 246 | 49% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=27, mult=4 |
-2.1% | -53.6% | -0.20 | -0.04 | 0.5x | 58 | 8% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
-2.6% | -61.9% | -0.24 | -0.04 | 0.5x | 24 | 5% |
| MACD fast=18, slow=30, signal=19 |
-11.0% | -97.8% | -0.47 | -0.11 | 0.0x | 440 | 52% |
| Buy and hold | 4.9% | -43.4% | 0.31 | 0.11 | 4.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 5-day return is greater than -15%
- Sell — Sell when the 5-day return drops to -15% or below