Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Saga plc backtest
10 trend-following strategies were compared on the full daily history of Saga plc. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.2%, MDD -33.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.3%, drawdown -97.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.5%, MDD -43.0%, Sharpe 0.59, 30% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.5%, MDD -59.9%, exposure 64%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.8%p higher than buy and hold, while drawdown improves by 54.6%p (CAGR 10.2%, MDD -33.5%, exposure 17%).
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=48, slow=266 |
10.5% | -43.0% | 0.59 | 0.24 | 3.4x | 9 | 30% |
| ADX / DI 방향성 period=38, threshold=19 |
10.2% | -33.5% | 0.56 | 0.30 | 3.3x | 26 | 17% |
| SMA 크로스오버 fast=42, slow=183 |
11.2% | -58.9% | 0.52 | 0.19 | 3.7x | 17 | 43% |
| 볼린저 밴드 돌파 n=27, k=1.1 |
11.1% | -56.2% | 0.49 | 0.20 | 3.6x | 121 | 37% |
| Donchian 채널 돌파 entryN=14, exitN=39 |
11.5% | -59.9% | 0.47 | 0.19 | 3.8x | 45 | 64% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=29, mult=1.1 |
7.8% | -62.9% | 0.40 | 0.12 | 2.5x | 59 | 36% |
| ROC 모멘텀 n=13, threshold=0.06 |
6.3% | -53.3% | 0.35 | 0.12 | 2.1x | 234 | 22% |
| Supertrend period=15, mult=2 |
5.1% | -60.9% | 0.31 | 0.08 | 1.8x | 96 | 44% |
| Parabolic SAR step=0.015, maxStep=0.12 |
4.9% | -76.6% | 0.31 | 0.06 | 1.8x | 228 | 47% |
| MACD fast=17, slow=37, signal=18 |
-2.7% | -83.8% | 0.10 | -0.03 | 0.7x | 133 | 51% |
| Buy and hold | -10.3% | -97.6% | 0.05 | -0.11 | 0.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 48-day EMA crosses above the 266-day EMA
- Sell — Sell when the 48-day EMA falls below the 266-day EMA