Trend-Following Backtester · Guide · backtest 한국어

equity · GB

Bloomsbury Publishing Plc backtest

10 trend-following strategies were compared on the full daily history of Bloomsbury Publishing Plc. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.6%, MDD -54.7%).

Data 1994-06-27 ~ 2026-07-31daily bars 8,205 (32.1 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 10.3%, drawdown -76.8%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.1%, MDD -20.2%, Sharpe 0.58, 12% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 9.6%, MDD -54.7%, exposure 54%.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.2%p lower than buy and hold, while drawdown improves by 56.6%p (CAGR 9.6%, MDD -54.7%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=41, threshold=27
6.1%-20.2%0.580.306.6x2812%
볼린저 밴드 돌파
n=53, k=2.9
7.5%-31.2%0.540.2410.2x6021%
Donchian 채널 돌파
entryN=115, exitN=30
8.7%-46.2%0.530.1914.5x5432%
SMA 크로스오버
fast=46, slow=231
9.6%-54.7%0.500.1819.2x4354%
Keltner 채널 돌파
emaPeriod=51, atrPeriod=26, mult=3.7
5.7%-39.3%0.440.145.9x7421%
Supertrend
period=21, mult=4.5
7.8%-67.3%0.440.1211.2x12551%
EMA 크로스오버
fast=58, slow=151
7.9%-61.9%0.430.1311.5x4756%
ROC 모멘텀
n=141, threshold=0
2.9%-85.3%0.240.032.5x25155%
MACD
fast=34, slow=51, signal=29
2.2%-77.3%0.200.032.0x22650%
Parabolic SAR
step=0.03, maxStep=0.14
-3.0%-96.1%-0.01-0.030.4x73152%
Buy and hold10.3%-76.8%0.460.1323.2x1100%
1x 10x 1995 1999 2003 2007 2011 2015 2019 2023 SMA 크로스오버ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -19% -38% -58% -77% 1995 1999 2003 2007 2011 2015 2019 2023 Buy and holdSMA 크로스오버ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -20.2% (2000-01-21 → 2000-02-15), recovered after 1,305 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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