Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Whitbread PLC backtest
10 trend-following strategies were compared on the full daily history of Whitbread PLC. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.2%, drawdown -64.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.6%, MDD -59.7%, Sharpe 0.29, 62% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=73, slow=112 |
3.6% | -59.7% | 0.29 | 0.06 | 3.9x | 58 | 62% |
| SMA 크로스오버 fast=55, slow=207 |
2.7% | -69.0% | 0.23 | 0.04 | 2.8x | 56 | 61% |
| Donchian 채널 돌파 entryN=99, exitN=99 |
2.0% | -58.5% | 0.20 | 0.03 | 2.1x | 50 | 59% |
| ROC 모멘텀 n=190, threshold=-0.04 |
2.0% | -66.0% | 0.20 | 0.03 | 2.1x | 228 | 67% |
| 볼린저 밴드 돌파 n=59, k=2.4 |
0.4% | -47.3% | 0.10 | 0.01 | 1.2x | 110 | 29% |
| ADX / DI 방향성 period=28, threshold=26 |
0.3% | -19.9% | 0.07 | 0.01 | 1.1x | 50 | 8% |
| Supertrend period=16, mult=2.5 |
-0.6% | -70.8% | 0.07 | -0.01 | 0.8x | 429 | 54% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=15, mult=3.2 |
-0.5% | -64.7% | 0.03 | -0.01 | 0.8x | 152 | 35% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-2.2% | -72.2% | -0.02 | -0.03 | 0.4x | 495 | 53% |
| MACD fast=19, slow=31, signal=15 |
-2.4% | -77.7% | -0.02 | -0.03 | 0.4x | 511 | 49% |
| Buy and hold | 5.2% | -64.5% | 0.32 | 0.08 | 7.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 73-day EMA crosses above the 112-day EMA
- Sell — Sell when the 73-day EMA falls below the 112-day EMA