Trend-Following Backtester · Guide · backtest 한국어
equity · US
Flutter Entertainment plc backtest
10 trend-following strategies were compared on the full daily history of Flutter Entertainment plc. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.4%, MDD -45.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.8%, drawdown -70.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.4%, MDD -45.3%, Sharpe 0.58, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.8%, MDD -62.8%, exposure 72%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 24.8%p (CAGR 13.4%, MDD -45.3%, exposure 61%).
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=41, slow=182 |
13.4% | -45.3% | 0.58 | 0.30 | 19.9x | 32 | 61% |
| ADX / DI 방향성 period=20, threshold=34 |
13.3% | -57.5% | 0.57 | 0.23 | 19.6x | 30 | 48% |
| EMA 크로스오버 fast=6, slow=82 |
14.3% | -57.5% | 0.56 | 0.25 | 24.4x | 52 | 66% |
| Donchian 채널 돌파 entryN=42, exitN=42 |
15.8% | -62.8% | 0.56 | 0.25 | 33.0x | 54 | 72% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=17, mult=4 |
13.0% | -57.5% | 0.56 | 0.23 | 18.5x | 38 | 49% |
| Supertrend period=36, mult=5 |
13.6% | -57.5% | 0.54 | 0.24 | 20.8x | 74 | 69% |
| Parabolic SAR step=0.01, maxStep=0.34 |
13.4% | -57.5% | 0.54 | 0.23 | 20.1x | 106 | 65% |
| ROC 모멘텀 n=60, threshold=-0.06 |
14.9% | -60.1% | 0.53 | 0.25 | 27.3x | 93 | 80% |
| 볼린저 밴드 돌파 n=32, k=2.7 |
10.1% | -57.5% | 0.47 | 0.18 | 10.0x | 44 | 46% |
| MACD fast=18, slow=29, signal=19 |
2.0% | -50.3% | 0.19 | 0.04 | 1.6x | 168 | 39% |
| Buy and hold | 13.8% | -70.1% | 0.50 | 0.20 | 21.7x | 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 41-day average price crosses above the 182-day average
- Sell — Sell (to cash) when the 41-day average falls below the 182-day average