Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Procter & Gamble Health Ltd. backtest
10 trend-following strategies were compared on the full daily history of Procter & Gamble Health Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.1%, MDD -42.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.7%, drawdown -56.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.1%, MDD -42.9%, Sharpe 0.62, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 13.4%p (CAGR 13.1%, MDD -42.9%, exposure 56%).
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=47, slow=184 |
13.1% | -42.9% | 0.62 | 0.31 | 19.9x | 31 | 56% |
| ADX / DI 방향성 period=42, threshold=15 |
10.8% | -43.9% | 0.56 | 0.24 | 11.9x | 71 | 44% |
| EMA 크로스오버 fast=76, slow=104 |
11.4% | -47.4% | 0.55 | 0.24 | 13.7x | 29 | 57% |
| Supertrend period=9, mult=4.7 |
10.7% | -46.2% | 0.53 | 0.23 | 11.8x | 50 | 60% |
| ROC 모멘텀 n=142, threshold=0.01 |
10.0% | -56.7% | 0.51 | 0.18 | 10.1x | 169 | 55% |
| Donchian 채널 돌파 entryN=66, exitN=78 |
9.8% | -56.0% | 0.50 | 0.18 | 9.7x | 27 | 55% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=12, mult=3.5 |
7.4% | -43.4% | 0.46 | 0.17 | 5.6x | 40 | 29% |
| 볼린저 밴드 돌파 n=52, k=1.2 |
3.2% | -57.2% | 0.25 | 0.06 | 2.1x | 150 | 43% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.1% | -72.9% | 0.16 | 0.01 | 1.3x | 193 | 50% |
| MACD fast=12, slow=18, signal=17 |
0.6% | -73.7% | 0.14 | 0.01 | 1.2x | 379 | 49% |
| Buy and hold | 12.7% | -56.3% | 0.55 | 0.23 | 18.3x | 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 47-day average price crosses above the 184-day average
- Sell — Sell (to cash) when the 47-day average falls below the 184-day average