Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Porvair plc backtest
10 trend-following strategies were compared on the full daily history of Porvair plc. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.2%, MDD -13.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.4%, drawdown -90.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.4%, MDD -12.8%, Sharpe 0.77, 6% exposure.
CAGR reference leader: Parabolic SAR — CAGR 9.5%, MDD -57.5%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 77.2%p (CAGR 5.2%, MDD -13.2%, exposure 7%).
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=13, threshold=60 |
4.4% | -12.8% | 0.77 | 0.34 | 5.2x | 32 | 6% |
| 볼린저 밴드 돌파 n=14, k=3.5 |
5.2% | -13.2% | 0.76 | 0.40 | 7.0x | 46 | 7% |
| Donchian 채널 돌파 entryN=39, exitN=23 |
9.3% | -48.7% | 0.48 | 0.19 | 30.1x | 139 | 42% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=22, mult=4 |
4.5% | -50.8% | 0.48 | 0.09 | 5.5x | 74 | 12% |
| Parabolic SAR step=0.005, maxStep=0.1 |
9.5% | -57.5% | 0.46 | 0.17 | 32.5x | 242 | 50% |
| SMA 크로스오버 fast=57, slow=208 |
7.8% | -60.3% | 0.40 | 0.13 | 17.9x | 51 | 58% |
| Supertrend period=21, mult=5 |
7.4% | -53.7% | 0.39 | 0.14 | 15.3x | 127 | 53% |
| EMA 크로스오버 fast=33, slow=58 |
4.8% | -73.3% | 0.30 | 0.07 | 6.0x | 119 | 56% |
| ROC 모멘텀 n=126, threshold=-0.09 |
4.5% | -78.1% | 0.29 | 0.06 | 5.3x | 229 | 73% |
| MACD fast=25, slow=91, signal=23 |
3.7% | -83.4% | 0.27 | 0.04 | 4.1x | 271 | 50% |
| Buy and hold | 6.4% | -90.0% | 0.36 | 0.07 | 10.7x | 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, 13-day) is ≥ 60
- Sell — Sell when direction flips or the trend weakens (ADX < 60)