Trend-Following Backtester · Guide · backtest 한국어

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S4 Capital plc backtest

10 trend-following strategies were compared on the full daily history of S4 Capital plc. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.6%, MDD -32.2%).

Data 2016-12-29 ~ 2026-07-31daily bars 2,422 (9.6 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR -16.2%, drawdown -98.2%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.5%, MDD -57.6%, Sharpe 0.62, 45% exposure.

CAGR reference leader: Supertrend — CAGR 18.6%, MDD -50.5%, exposure 48%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 33.7%p higher than buy and hold, while drawdown improves by 40.6%p (CAGR 1.6%, MDD -32.2%, exposure 5%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=71, slow=155
17.5%-57.6%0.620.304.7x1345%
Supertrend
period=8, mult=4.1
18.6%-50.5%0.610.375.1x3348%
EMA 크로스오버
fast=59, slow=170
12.2%-51.1%0.570.243.0x737%
ROC 모멘텀
n=91, threshold=-0.01
11.9%-55.8%0.470.212.9x6746%
Keltner 채널 돌파
emaPeriod=38, atrPeriod=15, mult=1.8
9.8%-68.1%0.440.142.4x4032%
Donchian 채널 돌파
entryN=60, exitN=77
9.2%-71.2%0.410.132.3x1151%
볼린저 밴드 돌파
n=48, k=2.4
4.9%-53.4%0.320.091.6x2627%
ADX / DI 방향성
period=17, threshold=45
1.6%-32.2%0.160.051.2x105%
Parabolic SAR
step=0.035, maxStep=0.26
-8.3%-96.7%0.04-0.090.4x23749%
MACD
fast=15, slow=58, signal=13
-17.9%-97.7%-0.19-0.180.2x11349%
Buy and hold-16.2%-98.2%0.02-0.160.2x1100%
0.1 1x 2017 2019 2021 2023 2025 SupertrendSMA 크로스오버Buy and hold
SMA 크로스오버 (Sharpe leader), Supertrend (CAGR reference), Buy and hold.
0% -25% -49% -74% -98% 2017 2019 2021 2023 2025 Buy and holdSupertrendSMA 크로스오버
SMA 크로스오버 maximum drawdown -57.6% (2021-09-23 → 2024-10-14), recovered after 1,688 days.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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