Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Balfour Beatty plc backtest
10 trend-following strategies were compared on the full daily history of Balfour Beatty plc. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 2.9%, MDD -71.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.1%, drawdown -92.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.0%, MDD -12.9%, Sharpe 0.35, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.9%, MDD -71.2%, exposure 54%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 80.0%p (CAGR 2.9%, MDD -71.2%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=28, k=3.4 |
2.0% | -12.9% | 0.35 | 0.15 | 2.1x | 24 | 6% |
| SMA 크로스오버 fast=34, slow=106 |
2.9% | -71.2% | 0.24 | 0.04 | 3.0x | 101 | 54% |
| EMA 크로스오버 fast=26, slow=95 |
2.8% | -73.0% | 0.23 | 0.04 | 2.9x | 95 | 55% |
| Donchian 채널 돌파 entryN=66, exitN=57 |
1.5% | -73.7% | 0.18 | 0.02 | 1.8x | 75 | 52% |
| ADX / DI 방향성 period=37, threshold=23 |
0.9% | -37.8% | 0.15 | 0.02 | 1.4x | 28 | 5% |
| Supertrend period=11, mult=4.5 |
0.4% | -86.6% | 0.13 | 0.00 | 1.2x | 239 | 59% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=27, mult=4 |
0.1% | -53.4% | 0.07 | 0.00 | 1.1x | 96 | 19% |
| ROC 모멘텀 n=67, threshold=0.01 |
-1.9% | -88.9% | 0.01 | -0.02 | 0.5x | 507 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.5% | -87.0% | -0.01 | -0.03 | 0.4x | 314 | 53% |
| MACD fast=20, slow=40, signal=17 |
-3.6% | -86.3% | -0.06 | -0.04 | 0.2x | 446 | 50% |
| Buy and hold | 3.1% | -92.8% | 0.25 | 0.03 | 3.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 28-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 28-day middle average