Trend-Following Backtester · Guide · backtest 한국어
equity · GB
WPP Plc backtest
10 trend-following strategies were compared on the full daily history of WPP Plc. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.4%, MDD -46.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.2%, drawdown -88.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.4%, MDD -46.5%, Sharpe 0.48, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 41.8%p (CAGR 8.4%, MDD -46.5%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=57, slow=99 |
8.4% | -46.5% | 0.48 | 0.18 | 12.6x | 45 | 55% |
| SMA 크로스오버 fast=31, slow=161 |
8.1% | -47.3% | 0.48 | 0.17 | 11.7x | 51 | 54% |
| Donchian 채널 돌파 entryN=54, exitN=85 |
6.7% | -62.8% | 0.39 | 0.11 | 7.6x | 51 | 64% |
| Supertrend period=21, mult=4.6 |
6.0% | -73.0% | 0.37 | 0.08 | 6.3x | 95 | 54% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=18, mult=2.3 |
4.6% | -52.7% | 0.33 | 0.09 | 4.1x | 117 | 39% |
| ROC 모멘텀 n=98, threshold=-0.04 |
4.2% | -85.9% | 0.29 | 0.05 | 3.6x | 257 | 65% |
| ADX / DI 방향성 period=30, threshold=23 |
1.6% | -25.6% | 0.21 | 0.06 | 1.7x | 51 | 11% |
| 볼린저 밴드 돌파 n=56, k=3.1 |
1.3% | -44.9% | 0.17 | 0.03 | 1.5x | 31 | 9% |
| MACD fast=24, slow=38, signal=20 |
-3.7% | -94.8% | -0.04 | -0.04 | 0.3x | 337 | 51% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-5.7% | -96.9% | -0.11 | -0.06 | 0.2x | 442 | 55% |
| Buy and hold | 4.2% | -88.3% | 0.29 | 0.05 | 3.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 57-day EMA crosses above the 99-day EMA
- Sell — Sell when the 57-day EMA falls below the 99-day EMA