Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Premier Foods plc backtest
10 trend-following strategies were compared on the full daily history of Premier Foods plc. 10 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 10.9%, MDD -48.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.7%, drawdown -99.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.9%, MDD -48.9%, Sharpe 0.56, 20% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.6%p higher than buy and hold, while drawdown improves by 50.3%p (CAGR 10.9%, MDD -48.9%, exposure 20%).
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=16, threshold=25 |
10.9% | -48.9% | 0.56 | 0.22 | 9.8x | 108 | 20% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=14, mult=2.9 |
8.0% | -55.2% | 0.50 | 0.14 | 5.4x | 30 | 12% |
| 볼린저 밴드 돌파 n=16, k=2.8 |
5.5% | -56.5% | 0.37 | 0.10 | 3.3x | 80 | 11% |
| Supertrend period=28, mult=3.5 |
7.1% | -69.3% | 0.37 | 0.10 | 4.5x | 77 | 52% |
| SMA 크로스오버 fast=40, slow=54 |
5.5% | -74.3% | 0.32 | 0.07 | 3.2x | 114 | 49% |
| Donchian 채널 돌파 entryN=62, exitN=25 |
4.7% | -74.4% | 0.31 | 0.06 | 2.8x | 54 | 36% |
| MACD fast=7, slow=23, signal=9 |
3.5% | -89.1% | 0.27 | 0.04 | 2.1x | 473 | 49% |
| EMA 크로스오버 fast=4, slow=76 |
3.3% | -85.2% | 0.26 | 0.04 | 2.1x | 146 | 49% |
| ROC 모멘텀 n=22, threshold=0.14 |
2.1% | -70.5% | 0.20 | 0.03 | 1.6x | 202 | 11% |
| Parabolic SAR step=0.01, maxStep=0.38 |
1.0% | -86.4% | 0.20 | 0.01 | 1.2x | 348 | 47% |
| Buy and hold | -7.7% | -99.2% | 0.11 | -0.08 | 0.2x | 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, 16-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)