Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Beazley Plc backtest
10 trend-following strategies were compared on the full daily history of Beazley Plc. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 12.9%, MDD -37.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.5%, drawdown -54.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.9%, MDD -37.7%, Sharpe 0.60, 84% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 17.0%p (CAGR 12.9%, MDD -37.7%, exposure 84%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=302, threshold=-0.14 |
12.9% | -37.7% | 0.60 | 0.34 | 17.8x | 39 | 84% |
| EMA 크로스오버 fast=57, slow=300 |
11.0% | -35.4% | 0.55 | 0.31 | 11.8x | 15 | 71% |
| SMA 크로스오버 fast=56, slow=298 |
10.2% | -36.7% | 0.55 | 0.28 | 9.9x | 17 | 71% |
| Donchian 채널 돌파 entryN=16, exitN=74 |
7.9% | -59.4% | 0.41 | 0.13 | 6.0x | 49 | 84% |
| MACD fast=24, slow=31, signal=29 |
3.6% | -45.3% | 0.27 | 0.08 | 2.3x | 212 | 50% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=26, mult=4 |
0.5% | -8.7% | 0.20 | 0.05 | 1.1x | 4 | 1% |
| ADX / DI 방향성 period=65, threshold=17 |
0.5% | -10.0% | 0.15 | 0.05 | 1.1x | 7 | 4% |
| Supertrend period=11, mult=3 |
0.7% | -60.1% | 0.13 | 0.01 | 1.2x | 147 | 60% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.7% | -69.2% | 0.08 | -0.01 | 0.8x | 213 | 60% |
| 볼린저 밴드 돌파 n=51, k=2.4 |
-0.9% | -58.1% | -0.00 | -0.01 | 0.8x | 91 | 30% |
| Buy and hold | 12.5% | -54.8% | 0.54 | 0.23 | 16.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 302-day return is greater than -14%
- Sell — Sell when the 302-day return drops to -14% or below