Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Smith & Nephew plc backtest
10 trend-following strategies were compared on the full daily history of Smith & Nephew plc. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.2%, drawdown -55.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -8.1%, Sharpe 0.21, 1% exposure.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=30, threshold=40 |
0.4% | -8.1% | 0.21 | 0.05 | 1.2x | 2 | 1% |
| Donchian 채널 돌파 entryN=12, exitN=73 |
-0.2% | -66.8% | 0.10 | -0.00 | 0.9x | 121 | 84% |
| SMA 크로스오버 fast=18, slow=104 |
-0.3% | -67.0% | 0.08 | -0.00 | 0.9x | 116 | 54% |
| EMA 크로스오버 fast=38, slow=91 |
-1.1% | -67.8% | 0.03 | -0.02 | 0.6x | 100 | 55% |
| 볼린저 밴드 돌파 n=17, k=3.4 |
-0.0% | -17.6% | 0.01 | -0.00 | 1.0x | 16 | 2% |
| Supertrend period=12, mult=4.3 |
-3.0% | -74.3% | -0.08 | -0.04 | 0.3x | 179 | 53% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=3.8 |
-1.8% | -61.5% | -0.14 | -0.03 | 0.5x | 82 | 18% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.8% | -90.0% | -0.18 | -0.05 | 0.2x | 305 | 50% |
| ROC 모멘텀 n=132, threshold=0.01 |
-5.1% | -92.4% | -0.20 | -0.05 | 0.1x | 336 | 52% |
| MACD fast=18, slow=22, signal=16 |
-5.2% | -90.1% | -0.22 | -0.06 | 0.1x | 541 | 54% |
| Buy and hold | 5.2% | -55.0% | 0.32 | 0.09 | 6.8x | 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, 30-day) is ≥ 40
- Sell — Sell when direction flips or the trend weakens (ADX < 40)