Trend-Following Backtester · Guide · backtest 한국어
equity · GB
J Sainsbury plc backtest
10 trend-following strategies were compared on the full daily history of J Sainsbury plc. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.0%, MDD -17.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.8%, drawdown -74.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.0%, MDD -17.1%, Sharpe 0.23, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.2%, MDD -57.4%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 57.3%p (CAGR 1.0%, MDD -17.1%, exposure 2%).
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=47, threshold=26 |
1.0% | -17.1% | 0.23 | 0.06 | 1.4x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=20, mult=3.9 |
1.1% | -24.7% | 0.17 | 0.04 | 1.5x | 74 | 14% |
| SMA 크로스오버 fast=57, slow=190 |
1.2% | -57.4% | 0.15 | 0.02 | 1.6x | 59 | 55% |
| EMA 크로스오버 fast=57, slow=192 |
0.1% | -59.4% | 0.09 | 0.00 | 1.1x | 55 | 51% |
| Donchian 채널 돌파 entryN=114, exitN=46 |
0.1% | -55.5% | 0.08 | 0.00 | 1.0x | 70 | 36% |
| ROC 모멘텀 n=122, threshold=-0.01 |
-0.8% | -83.1% | 0.04 | -0.01 | 0.7x | 316 | 57% |
| Supertrend period=17, mult=4.9 |
-1.8% | -72.5% | -0.02 | -0.03 | 0.5x | 168 | 52% |
| 볼린저 밴드 돌파 n=32, k=3.5 |
-0.1% | -17.1% | -0.03 | -0.01 | 0.9x | 18 | 3% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-6.0% | -93.6% | -0.24 | -0.06 | 0.1x | 532 | 52% |
| MACD fast=17, slow=51, signal=19 |
-7.3% | -95.9% | -0.31 | -0.08 | 0.1x | 468 | 51% |
| Buy and hold | 0.8% | -74.4% | 0.16 | 0.01 | 1.3x | 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, 47-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)