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 -2.1%, drawdown -75.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.6%, MDD -29.7%, Sharpe 0.43, 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 |
6.6% | -29.7% | 0.43 | 0.22 | 2.2x | 25 | 50% |
| EMA 크로스오버 fast=52, slow=109 |
5.0% | -50.5% | 0.36 | 0.10 | 1.8x | 17 | 50% |
| Donchian 채널 돌파 entryN=51, exitN=48 |
5.1% | -54.5% | 0.34 | 0.09 | 1.8x | 23 | 54% |
| ROC 모멘텀 n=145, threshold=0.04 |
3.8% | -29.9% | 0.31 | 0.13 | 1.6x | 65 | 44% |
| ADX / DI 방향성 period=33, threshold=15 |
2.0% | -24.6% | 0.21 | 0.08 | 1.3x | 62 | 30% |
| Parabolic SAR step=0.01, maxStep=0.12 |
0.6% | -45.4% | 0.13 | 0.01 | 1.1x | 155 | 51% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=36, mult=3.9 |
-0.1% | -37.2% | 0.05 | -0.00 | 1.0x | 21 | 22% |
| Supertrend period=29, mult=2.4 |
-1.4% | -57.5% | 0.04 | -0.02 | 0.8x | 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 | 181 | 51% |
| Buy and hold | -2.1% | -75.9% | 0.09 | -0.03 | 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