Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Pearson PLC backtest
10 trend-following strategies were compared on the full daily history of Pearson PLC. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.8%, MDD -54.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.7%, drawdown -81.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.8%, MDD -54.4%, Sharpe 0.28, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 26.9%p (CAGR 3.8%, MDD -54.4%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=54, slow=207 |
3.8% | -54.4% | 0.28 | 0.07 | 4.2x | 47 | 61% |
| SMA 크로스오버 fast=58, slow=211 |
3.5% | -53.3% | 0.27 | 0.07 | 3.7x | 51 | 58% |
| Donchian 채널 돌파 entryN=119, exitN=121 |
3.4% | -47.7% | 0.26 | 0.07 | 3.5x | 37 | 59% |
| ADX / DI 방향성 period=39, threshold=24 |
0.9% | -16.9% | 0.20 | 0.05 | 1.4x | 20 | 5% |
| 볼린저 밴드 돌파 n=24, k=3.5 |
0.3% | -26.9% | 0.08 | 0.01 | 1.1x | 26 | 3% |
| ROC 모멘텀 n=123, threshold=-0.04 |
-0.8% | -83.1% | 0.07 | -0.01 | 0.7x | 337 | 67% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=10, mult=4 |
-1.2% | -56.5% | -0.03 | -0.02 | 0.6x | 113 | 23% |
| Supertrend period=19, mult=5 |
-3.7% | -91.3% | -0.09 | -0.04 | 0.2x | 221 | 53% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-5.9% | -93.8% | -0.17 | -0.06 | 0.1x | 207 | 55% |
| MACD fast=18, slow=33, signal=18 |
-8.4% | -97.8% | -0.30 | -0.09 | 0.0x | 487 | 49% |
| Buy and hold | 3.7% | -81.4% | 0.27 | 0.05 | 4.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 54-day EMA crosses above the 207-day EMA
- Sell — Sell when the 54-day EMA falls below the 207-day EMA