Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Pets At Home Group Plc backtest
10 trend-following strategies were compared on the full daily history of Pets At Home Group Plc. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.3%, MDD -16.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.7%, drawdown -67.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.3%, MDD -16.6%, Sharpe 0.58, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.0%, MDD -38.0%, exposure 42%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 50.5%p (CAGR 3.3%, MDD -16.6%, exposure 6%).
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=29, threshold=27 |
3.3% | -16.6% | 0.58 | 0.20 | 1.5x | 6 | 6% |
| 볼린저 밴드 돌파 n=51, k=3.2 |
7.7% | -25.3% | 0.57 | 0.31 | 2.5x | 14 | 16% |
| SMA 크로스오버 fast=35, slow=149 |
10.0% | -38.0% | 0.52 | 0.26 | 3.3x | 17 | 42% |
| EMA 크로스오버 fast=42, slow=123 |
7.6% | -38.0% | 0.42 | 0.20 | 2.5x | 15 | 42% |
| ROC 모멘텀 n=72, threshold=0.09 |
4.7% | -34.8% | 0.34 | 0.13 | 1.8x | 87 | 29% |
| Donchian 채널 돌파 entryN=111, exitN=47 |
4.2% | -48.5% | 0.30 | 0.09 | 1.7x | 14 | 33% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=23, mult=2.5 |
3.7% | -38.8% | 0.30 | 0.10 | 1.6x | 29 | 23% |
| Supertrend period=25, mult=4.8 |
2.3% | -52.3% | 0.21 | 0.04 | 1.3x | 25 | 49% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-8.5% | -78.2% | -0.21 | -0.11 | 0.3x | 243 | 50% |
| MACD fast=19, slow=41, signal=16 |
-11.4% | -82.3% | -0.35 | -0.14 | 0.2x | 164 | 50% |
| Buy and hold | -0.7% | -67.1% | 0.16 | -0.01 | 0.9x | 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, 29-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)