Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Baltic Classifieds Group Plc backtest
10 trend-following strategies were compared on the full daily history of Baltic Classifieds Group Plc. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.8%, MDD -8.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.0%, drawdown -60.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.4%, MDD -21.5%, Sharpe 0.82, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.4%p higher than buy and hold, while drawdown improves by 39.4%p (CAGR 2.8%, MDD -8.2%, exposure 8%).
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=11, slow=233 |
17.4% | -21.5% | 0.82 | 0.81 | 2.3x | 2 | 52% |
| Donchian 채널 돌파 entryN=116, exitN=20 |
13.9% | -15.0% | 0.80 | 0.93 | 1.9x | 2 | 35% |
| EMA 크로스오버 fast=27, slow=199 |
15.7% | -21.5% | 0.77 | 0.73 | 2.1x | 2 | 51% |
| ADX / DI 방향성 period=39, threshold=22 |
1.8% | -0.5% | 0.76 | 3.51 | 1.1x | 4 | 0% |
| ROC 모멘텀 n=144, threshold=0.04 |
10.3% | -23.9% | 0.55 | 0.43 | 1.6x | 36 | 51% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=18, mult=3.9 |
2.8% | -8.2% | 0.40 | 0.35 | 1.2x | 2 | 8% |
| Supertrend period=16, mult=4.2 |
1.6% | -56.4% | 0.22 | 0.03 | 1.1x | 10 | 70% |
| 볼린저 밴드 돌파 n=57, k=2.7 |
1.1% | -19.8% | 0.15 | 0.05 | 1.1x | 9 | 18% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.2% | -43.6% | 0.08 | -0.05 | 0.9x | 41 | 57% |
| MACD fast=15, slow=30, signal=17 |
-21.9% | -77.6% | -0.73 | -0.28 | 0.3x | 77 | 49% |
| Buy and hold | 2.0% | -60.9% | 0.27 | 0.03 | 1.1x | 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 11-day average price crosses above the 233-day average
- Sell — Sell (to cash) when the 11-day average falls below the 233-day average