Trend-Following Backtester · Guide · backtest 한국어
equity · GB
SEGRO plc backtest
10 trend-following strategies were compared on the full daily history of SEGRO plc. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.5%, MDD -38.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR -4.8%, drawdown -98.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.6%, MDD -45.8%, Sharpe 0.46, 59% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 11.4%p higher than buy and hold, while drawdown improves by 52.6%p (CAGR 5.5%, MDD -38.7%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=61, slow=234 |
6.6% | -45.8% | 0.46 | 0.14 | 11.5x | 35 | 59% |
| EMA 크로스오버 fast=35, slow=217 |
6.3% | -48.0% | 0.45 | 0.13 | 10.2x | 43 | 56% |
| Donchian 채널 돌파 entryN=104, exitN=79 |
5.5% | -38.7% | 0.41 | 0.14 | 7.6x | 47 | 54% |
| ROC 모멘텀 n=90, threshold=-0.09 |
4.2% | -53.6% | 0.30 | 0.08 | 4.7x | 207 | 78% |
| ADX / DI 방향성 period=47, threshold=18 |
1.1% | -42.7% | 0.18 | 0.03 | 1.5x | 52 | 9% |
| 볼린저 밴드 돌파 n=67, k=1.6 |
0.7% | -55.7% | 0.12 | 0.01 | 1.3x | 167 | 42% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=28, mult=1.8 |
-5.9% | -95.1% | -0.02 | -0.06 | 0.1x | 269 | 42% |
| Supertrend period=22, mult=3.3 |
-6.7% | -96.2% | -0.03 | -0.07 | 0.1x | 375 | 56% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-7.1% | -96.2% | -0.05 | -0.07 | 0.1x | 331 | 54% |
| MACD fast=25, slow=88, signal=15 |
-7.6% | -96.7% | -0.06 | -0.08 | 0.0x | 351 | 52% |
| Buy and hold | -4.8% | -98.3% | 0.11 | -0.05 | 0.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 61-day average price crosses above the 234-day average
- Sell — Sell (to cash) when the 61-day average falls below the 234-day average