Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Smiths Group Plc backtest
10 trend-following strategies were compared on the full daily history of Smiths Group Plc. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.1%, drawdown -63.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.8%, MDD -61.0%, Sharpe 0.34, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=4, threshold=-0.15 |
5.8% | -61.0% | 0.34 | 0.10 | 8.6x | 17 | 100% |
| Donchian 채널 돌파 entryN=3, exitN=101 |
4.7% | -63.1% | 0.31 | 0.07 | 5.7x | 119 | 94% |
| ADX / DI 방향성 period=41, threshold=34 |
0.2% | -4.4% | 0.21 | 0.05 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=13, mult=3.6 |
0.6% | -27.4% | 0.12 | 0.02 | 1.3x | 100 | 16% |
| SMA 크로스오버 fast=37, slow=145 |
0.3% | -65.7% | 0.11 | 0.00 | 1.1x | 79 | 60% |
| Supertrend period=17, mult=4.9 |
0.0% | -63.2% | 0.09 | 0.00 | 1.0x | 179 | 56% |
| EMA 크로스오버 fast=43, slow=134 |
-0.5% | -75.1% | 0.07 | -0.01 | 0.8x | 79 | 62% |
| 볼린저 밴드 돌파 n=34, k=1.6 |
-2.7% | -77.3% | -0.09 | -0.03 | 0.4x | 307 | 41% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.8% | -86.8% | -0.11 | -0.04 | 0.2x | 327 | 54% |
| MACD fast=16, slow=30, signal=19 |
-4.2% | -92.3% | -0.13 | -0.05 | 0.2x | 501 | 51% |
| Buy and hold | 5.1% | -63.0% | 0.32 | 0.08 | 6.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 4-day return is greater than -15%
- Sell — Sell when the 4-day return drops to -15% or below