Trend-Following Backtester · Guide · backtest 한국어
equity · GB
B&M European Value Retail PLC backtest
10 trend-following strategies were compared on the full daily history of B&M European Value Retail PLC. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -0.1%, MDD -20.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.5%, drawdown -75.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.1%, MDD -29.7%, Sharpe 0.45, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 46.2%p (CAGR -0.1%, MDD -20.5%, exposure 7%).
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=44, slow=140 |
7.1% | -29.7% | 0.45 | 0.24 | 2.3x | 25 | 50% |
| EMA 크로스오버 fast=52, slow=109 |
5.5% | -50.5% | 0.39 | 0.11 | 1.9x | 17 | 51% |
| Donchian 채널 돌파 entryN=51, exitN=48 |
5.6% | -54.5% | 0.36 | 0.10 | 1.9x | 23 | 54% |
| ROC 모멘텀 n=145, threshold=0.04 |
4.3% | -29.9% | 0.34 | 0.15 | 1.7x | 65 | 44% |
| ADX / DI 방향성 period=33, threshold=15 |
1.7% | -26.8% | 0.19 | 0.06 | 1.2x | 63 | 30% |
| Parabolic SAR step=0.01, maxStep=0.12 |
1.1% | -45.4% | 0.16 | 0.02 | 1.1x | 155 | 52% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=36, mult=3.9 |
0.4% | -37.2% | 0.09 | 0.01 | 1.0x | 21 | 23% |
| Supertrend period=29, mult=2.4 |
-0.9% | -57.5% | 0.06 | -0.02 | 0.9x | 107 | 55% |
| 볼린저 밴드 돌파 n=26, k=3.1 |
-0.1% | -20.5% | 0.03 | -0.00 | 1.0x | 18 | 7% |
| MACD fast=14, slow=22, signal=13 |
-2.8% | -65.5% | -0.02 | -0.04 | 0.7x | 184 | 51% |
| Buy and hold | -1.5% | -75.9% | 0.11 | -0.02 | 0.8x | 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 44-day average price crosses above the 140-day average
- Sell — Sell (to cash) when the 44-day average falls below the 140-day average