Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Primary Health Properties PLC backtest
10 trend-following strategies were compared on the full daily history of Primary Health Properties PLC. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.4%, MDD -34.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.4%, drawdown -61.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.5%, MDD -36.7%, Sharpe 0.34, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 4.4%, MDD -34.6%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=30, slow=279 |
4.5% | -36.7% | 0.34 | 0.12 | 3.8x | 38 | 61% |
| EMA 크로스오버 fast=93, slow=181 |
4.4% | -34.6% | 0.34 | 0.13 | 3.7x | 26 | 63% |
| Supertrend period=9, mult=5 |
2.3% | -53.0% | 0.22 | 0.04 | 2.0x | 78 | 63% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=20, mult=4 |
0.9% | -19.3% | 0.19 | 0.05 | 1.3x | 40 | 11% |
| 볼린저 밴드 돌파 n=31, k=3.3 |
1.1% | -23.5% | 0.19 | 0.05 | 1.4x | 40 | 10% |
| ADX / DI 방향성 period=48, threshold=32 |
0.7% | -18.8% | 0.14 | 0.04 | 1.3x | 16 | 7% |
| ROC 모멘텀 n=141, threshold=-0.09 |
0.8% | -73.3% | 0.14 | 0.01 | 1.3x | 139 | 86% |
| Donchian 채널 돌파 entryN=54, exitN=31 |
-0.6% | -57.8% | 0.03 | -0.01 | 0.8x | 103 | 45% |
| MACD fast=28, slow=29, signal=36 |
-5.0% | -91.5% | -0.21 | -0.05 | 0.2x | 261 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-5.8% | -94.0% | -0.28 | -0.06 | 0.2x | 239 | 54% |
| Buy and hold | 4.4% | -61.4% | 0.30 | 0.07 | 3.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 30-day average price crosses above the 279-day average
- Sell — Sell (to cash) when the 30-day average falls below the 279-day average