Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Sage Group plc backtest
10 trend-following strategies were compared on the full daily history of Sage Group plc. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.1%, MDD -49.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.5%, drawdown -89.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.6%, MDD -25.9%, Sharpe 0.90, 24% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 16.1%, MDD -49.9%, exposure 51%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.0%p lower than buy and hold, while drawdown improves by 63.5%p (CAGR 16.1%, MDD -49.9%, exposure 51%).
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=21, threshold=28 |
11.6% | -25.9% | 0.90 | 0.45 | 55.3x | 96 | 24% |
| 볼린저 밴드 돌파 n=16, k=3.4 |
5.1% | -9.7% | 0.84 | 0.52 | 6.2x | 50 | 7% |
| Donchian 채널 돌파 entryN=92, exitN=60 |
16.1% | -49.9% | 0.83 | 0.32 | 235.3x | 53 | 51% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=14, mult=2.9 |
9.0% | -37.3% | 0.82 | 0.24 | 23.4x | 143 | 13% |
| EMA 크로스오버 fast=46, slow=56 |
15.4% | -60.3% | 0.74 | 0.25 | 187.8x | 89 | 63% |
| SMA 크로스오버 fast=36, slow=110 |
14.6% | -57.6% | 0.71 | 0.25 | 148.7x | 70 | 62% |
| Supertrend period=31, mult=5 |
11.2% | -68.7% | 0.61 | 0.16 | 48.1x | 183 | 56% |
| ROC 모멘텀 n=69, threshold=0 |
11.6% | -81.5% | 0.59 | 0.14 | 55.9x | 331 | 62% |
| Parabolic SAR step=0.005, maxStep=0.18 |
9.5% | -88.1% | 0.51 | 0.11 | 27.4x | 253 | 58% |
| MACD fast=18, slow=59, signal=16 |
2.3% | -92.5% | 0.21 | 0.02 | 2.3x | 421 | 50% |
| Buy and hold | 17.5% | -89.4% | 0.65 | 0.20 | 373.0x | 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, 21-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)