Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Wickes Group Plc backtest
10 trend-following strategies were compared on the full daily history of Wickes Group Plc. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.2%, MDD -6.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.4%, drawdown -58.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.1%, MDD -25.5%, Sharpe 0.40, 45% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR -0.2%, MDD -6.3%, exposure 3%).
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=28, slow=53 |
6.1% | -25.5% | 0.40 | 0.24 | 1.4x | 22 | 45% |
| EMA 크로스오버 fast=56, slow=218 |
5.0% | -22.9% | 0.36 | 0.22 | 1.3x | 4 | 40% |
| 볼린저 밴드 돌파 n=42, k=1.8 |
4.4% | -17.2% | 0.34 | 0.25 | 1.3x | 23 | 29% |
| ADX / DI 방향성 period=14, threshold=35 |
1.1% | -10.5% | 0.26 | 0.11 | 1.1x | 6 | 5% |
| ROC 모멘텀 n=145, threshold=-0.03 |
2.4% | -25.7% | 0.22 | 0.09 | 1.1x | 22 | 50% |
| Supertrend period=14, mult=2.7 |
0.1% | -36.1% | 0.10 | 0.00 | 1.0x | 25 | 47% |
| Donchian 채널 돌파 entryN=64, exitN=10 |
-0.0% | -17.4% | 0.06 | -0.00 | 1.0x | 16 | 20% |
| MACD fast=9, slow=63, signal=8 |
-1.4% | -55.2% | 0.05 | -0.03 | 0.9x | 85 | 47% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=29, mult=2.8 |
-0.2% | -6.3% | -0.02 | -0.03 | 1.0x | 4 | 3% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-8.5% | -62.4% | -0.28 | -0.14 | 0.6x | 113 | 51% |
| Buy and hold | -4.4% | -58.4% | 0.01 | -0.08 | 0.8x | 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 28-day average price crosses above the 53-day average
- Sell — Sell (to cash) when the 28-day average falls below the 53-day average