Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Next plc backtest
10 trend-following strategies were compared on the full daily history of Next plc. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.9%, MDD -35.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.4%, drawdown -95.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.1%, MDD -37.9%, Sharpe 0.88, 69% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 57.2%p (CAGR 17.9%, MDD -35.7%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=9, slow=178 |
18.1% | -37.9% | 0.88 | 0.48 | 573.5x | 69 | 69% |
| SMA 크로스오버 fast=16, slow=192 |
17.9% | -35.7% | 0.87 | 0.50 | 529.4x | 63 | 68% |
| ROC 모멘텀 n=169, threshold=-0.04 |
16.8% | -49.9% | 0.81 | 0.34 | 379.2x | 149 | 72% |
| Donchian 채널 돌파 entryN=111, exitN=103 |
15.0% | -36.6% | 0.76 | 0.41 | 207.6x | 33 | 66% |
| Supertrend period=21, mult=5 |
10.5% | -50.9% | 0.56 | 0.21 | 45.7x | 145 | 60% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=3.1 |
6.0% | -47.9% | 0.43 | 0.13 | 9.3x | 143 | 39% |
| 볼린저 밴드 돌파 n=56, k=2.7 |
4.9% | -34.1% | 0.40 | 0.14 | 6.1x | 103 | 29% |
| ADX / DI 방향성 period=37, threshold=11 |
5.2% | -50.8% | 0.36 | 0.10 | 6.9x | 323 | 48% |
| Parabolic SAR step=0.01, maxStep=0.36 |
3.7% | -69.9% | 0.27 | 0.05 | 4.1x | 507 | 55% |
| MACD fast=13, slow=43, signal=19 |
-2.0% | -91.1% | 0.04 | -0.02 | 0.5x | 494 | 50% |
| Buy and hold | 11.4% | -95.1% | 0.48 | 0.12 | 61.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 9-day EMA crosses above the 178-day EMA
- Sell — Sell when the 9-day EMA falls below the 178-day EMA