Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Taylor Wimpey plc backtest
10 trend-following strategies were compared on the full daily history of Taylor Wimpey plc. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.9%, MDD -42.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.6%, drawdown -99.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.9%, MDD -68.2%, Sharpe 0.31, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 30.9%p (CAGR 2.9%, MDD -42.3%, 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=14, slow=116 |
4.9% | -68.2% | 0.31 | 0.07 | 6.2x | 122 | 51% |
| Supertrend period=8, mult=4.9 |
4.8% | -64.3% | 0.31 | 0.08 | 6.1x | 226 | 52% |
| Donchian 채널 돌파 entryN=29, exitN=45 |
3.2% | -63.0% | 0.25 | 0.05 | 3.3x | 139 | 62% |
| EMA 크로스오버 fast=43, slow=57 |
3.2% | -75.9% | 0.25 | 0.04 | 3.3x | 106 | 52% |
| 볼린저 밴드 돌파 n=27, k=2.6 |
2.9% | -42.3% | 0.25 | 0.07 | 3.0x | 124 | 16% |
| MACD fast=14, slow=62, signal=11 |
1.9% | -92.0% | 0.22 | 0.02 | 2.1x | 507 | 51% |
| ROC 모멘텀 n=120, threshold=0.01 |
2.3% | -62.6% | 0.21 | 0.04 | 2.4x | 302 | 49% |
| ADX / DI 방향성 period=19, threshold=26 |
1.9% | -62.5% | 0.19 | 0.03 | 2.0x | 134 | 17% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=16, mult=2.2 |
0.3% | -53.4% | 0.11 | 0.01 | 1.1x | 260 | 27% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-1.3% | -88.5% | 0.10 | -0.01 | 0.6x | 471 | 49% |
| Buy and hold | -2.6% | -99.2% | 0.16 | -0.03 | 0.4x | 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 14-day average price crosses above the 116-day average
- Sell — Sell (to cash) when the 14-day average falls below the 116-day average