Trend-Following Backtester · Guide · backtest 한국어
equity · GB
SSP Group Plc backtest
10 trend-following strategies were compared on the full daily history of SSP Group Plc. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.5%, MDD -17.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.2%, drawdown -80.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.0%, MDD -21.2%, Sharpe 0.25, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.2%, MDD -59.1%, exposure 46%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 59.4%p (CAGR 1.5%, MDD -17.8%, exposure 2%).
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 n=19, threshold=0.28 |
2.0% | -21.2% | 0.25 | 0.10 | 1.3x | 12 | 2% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=27, mult=3.9 |
1.5% | -17.8% | 0.21 | 0.09 | 1.2x | 6 | 2% |
| SMA 크로스오버 fast=78, slow=252 |
2.2% | -59.1% | 0.21 | 0.04 | 1.3x | 13 | 46% |
| 볼린저 밴드 돌파 n=22, k=3.5 |
1.5% | -17.8% | 0.21 | 0.08 | 1.2x | 8 | 4% |
| EMA 크로스오버 fast=34, slow=184 |
-0.9% | -64.4% | 0.06 | -0.01 | 0.9x | 19 | 47% |
| MACD fast=21, slow=37, signal=18 |
-2.5% | -58.9% | 0.05 | -0.04 | 0.7x | 135 | 49% |
| Donchian 채널 돌파 entryN=69, exitN=68 |
-3.5% | -68.3% | -0.04 | -0.05 | 0.7x | 23 | 47% |
| ADX / DI 방향성 period=32, threshold=22 |
-0.9% | -29.7% | -0.06 | -0.03 | 0.9x | 18 | 11% |
| Supertrend period=21, mult=3 |
-6.0% | -78.6% | -0.11 | -0.08 | 0.5x | 73 | 54% |
| Parabolic SAR step=0.025, maxStep=0.36 |
-8.3% | -80.9% | -0.13 | -0.10 | 0.4x | 319 | 52% |
| Buy and hold | 0.2% | -80.7% | 0.22 | 0.00 | 1.0x | 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 19-day return is greater than 28%
- Sell — Sell when the 19-day return drops to 28% or below