Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Prudential plc backtest
10 trend-following strategies were compared on the full daily history of Prudential plc. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -82.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.4%, MDD -90.4%, Sharpe 0.25, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: SMA 크로스오버 — CAGR 3.0%, MDD -66.8%, exposure 58%.
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 99% n=4, threshold=-0.11 |
2.4% | -90.4% | 0.25 | 0.03 | 2.5x | 115 | 99% |
| SMA 크로스오버 fast=40, slow=210 |
3.0% | -66.8% | 0.24 | 0.05 | 3.1x | 56 | 58% |
| EMA 크로스오버 fast=49, slow=174 |
2.5% | -62.9% | 0.22 | 0.04 | 2.5x | 56 | 60% |
| ADX / DI 방향성 period=39, threshold=29 |
0.4% | -5.8% | 0.19 | 0.07 | 1.2x | 2 | 1% |
| Donchian 채널 돌파 entryN=114, exitN=105 |
1.2% | -71.1% | 0.18 | 0.02 | 1.6x | 42 | 62% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
-0.4% | -22.2% | -0.06 | -0.02 | 0.9x | 12 | 1% |
| Supertrend period=33, mult=5 |
-4.3% | -89.2% | -0.07 | -0.05 | 0.2x | 181 | 52% |
| MACD fast=43, slow=69, signal=39 |
-6.5% | -95.4% | -0.13 | -0.07 | 0.1x | 241 | 52% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=3.4 |
-3.6% | -83.2% | -0.17 | -0.04 | 0.2x | 124 | 25% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-14.9% | -99.9% | -0.48 | -0.15 | 0.0x | 705 | 53% |
| Buy and hold | 5.5% | -82.4% | 0.33 | 0.07 | 7.6x | 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 4-day return is greater than -11%
- Sell — Sell when the 4-day return drops to -11% or below