Trend-Following Backtester · Guide · backtest 한국어
equity · GB
THG Plc backtest
10 trend-following strategies were compared on the full daily history of THG Plc. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 2.3%, MDD -44.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -40.9%, drawdown -97.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.8%, MDD -51.6%, Sharpe 0.36, 24% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 47.8%p higher than buy and hold, while drawdown improves by 45.5%p (CAGR 2.3%, MDD -44.6%, exposure 16%).
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=48, slow=137 |
6.8% | -51.6% | 0.36 | 0.13 | 1.5x | 10 | 24% |
| Supertrend period=11, mult=1.7 |
5.9% | -66.7% | 0.35 | 0.09 | 1.4x | 68 | 37% |
| Parabolic SAR step=0.015, maxStep=0.1 |
3.4% | -56.6% | 0.30 | 0.06 | 1.2x | 98 | 38% |
| ROC 모멘텀 n=119, threshold=0.13 |
2.3% | -44.6% | 0.23 | 0.05 | 1.2x | 20 | 16% |
| 볼린저 밴드 돌파 n=13, k=2.1 |
1.6% | -53.8% | 0.22 | 0.03 | 1.1x | 56 | 20% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=10, mult=1 |
-0.3% | -52.5% | 0.20 | -0.01 | 1.0x | 52 | 25% |
| Donchian 채널 돌파 entryN=115, exitN=25 |
-0.6% | -51.6% | 0.10 | -0.01 | 1.0x | 4 | 12% |
| ADX / DI 방향성 period=17, threshold=17 |
-6.4% | -59.0% | 0.04 | -0.11 | 0.7x | 78 | 29% |
| MACD fast=14, slow=50, signal=11 |
-11.7% | -73.9% | 0.03 | -0.16 | 0.5x | 86 | 50% |
| EMA 크로스오버 fast=54, slow=101 |
-7.7% | -61.7% | -0.08 | -0.13 | 0.6x | 10 | 18% |
| Buy and hold | -40.9% | -97.1% | -0.38 | -0.42 | 0.0x | 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 48-day average price crosses above the 137-day average
- Sell — Sell (to cash) when the 48-day average falls below the 137-day average