Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Auction Technology Group PLC backtest
10 trend-following strategies were compared on the full daily history of Auction Technology Group PLC. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.0%, MDD -25.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -10.3%, drawdown -84.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.5%, MDD -51.2%, Sharpe 0.42, 36% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.9%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 5.0%, MDD -25.1%, exposure 17%).
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=51, slow=87 |
7.5% | -51.2% | 0.42 | 0.15 | 1.5x | 13 | 36% |
| 볼린저 밴드 돌파 n=61, k=3.3 |
5.0% | -25.1% | 0.40 | 0.20 | 1.3x | 5 | 17% |
| ADX / DI 방향성 period=29, threshold=18 |
5.8% | -34.6% | 0.37 | 0.17 | 1.4x | 21 | 28% |
| ROC 모멘텀 n=94, threshold=0.13 |
3.1% | -42.4% | 0.26 | 0.07 | 1.2x | 23 | 23% |
| Donchian 채널 돌파 entryN=39, exitN=43 |
2.9% | -60.2% | 0.24 | 0.05 | 1.2x | 11 | 51% |
| EMA 크로스오버 fast=40, slow=41 |
-1.7% | -68.9% | 0.07 | -0.02 | 0.9x | 21 | 43% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=20, mult=2.2 |
-1.5% | -57.1% | 0.03 | -0.03 | 0.9x | 15 | 25% |
| Supertrend period=8, mult=2.5 |
-5.3% | -69.9% | -0.02 | -0.08 | 0.7x | 33 | 45% |
| MACD fast=13, slow=22, signal=14 |
-13.0% | -72.8% | -0.22 | -0.18 | 0.5x | 82 | 52% |
| Parabolic SAR step=0.05, maxStep=0.1 |
-16.6% | -80.5% | -0.40 | -0.21 | 0.4x | 159 | 47% |
| Buy and hold | -10.3% | -84.0% | 0.00 | -0.12 | 0.5x | 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 51-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 51-day average falls below the 87-day average