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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.7%, MDD -46.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.4%, drawdown -88.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.3%, MDD -47.3%, Sharpe 0.49, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 7.7%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=31, slow=161 |
8.3% | -47.3% | 0.49 | 0.18 | 12.2x | 50 | 54% |
| EMA 크로스오버 fast=57, slow=99 |
7.7% | -46.5% | 0.46 | 0.16 | 10.1x | 44 | 55% |
| Donchian 채널 돌파 entryN=54, exitN=85 |
5.9% | -62.8% | 0.36 | 0.09 | 5.9x | 51 | 64% |
| Supertrend period=21, mult=4.6 |
5.2% | -73.0% | 0.34 | 0.07 | 4.9x | 95 | 54% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=18, mult=2.3 |
3.8% | -52.7% | 0.30 | 0.07 | 3.2x | 117 | 38% |
| ROC 모멘텀 n=98, threshold=-0.04 |
3.4% | -85.9% | 0.26 | 0.04 | 2.8x | 257 | 64% |
| ADX / DI 방향성 period=30, threshold=23 |
1.7% | -24.5% | 0.21 | 0.07 | 1.7x | 50 | 11% |
| 볼린저 밴드 돌파 n=56, k=3.1 |
0.5% | -44.9% | 0.10 | 0.01 | 1.2x | 31 | 9% |
| MACD fast=24, slow=38, signal=20 |
-4.4% | -94.8% | -0.08 | -0.05 | 0.2x | 337 | 51% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-6.4% | -96.9% | -0.15 | -0.07 | 0.1x | 441 | 55% |
| Buy and hold | 3.4% | -88.3% | 0.27 | 0.04 | 2.9x | 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 31-day average price crosses above the 161-day average
- Sell — Sell (to cash) when the 31-day average falls below the 161-day average