Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Bunzl plc backtest
10 trend-following strategies were compared on the full daily history of Bunzl plc. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -69.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.5%, MDD -73.1%, Sharpe 0.42, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 100% n=5, threshold=-0.15 |
7.5% | -73.1% | 0.42 | 0.10 | 15.7x | 13 | 100% |
| 볼린저 밴드 돌파 n=19, k=3.3 |
1.8% | -15.9% | 0.41 | 0.11 | 2.0x | 30 | 4% |
| EMA 크로스오버 fast=57, slow=267 |
5.5% | -43.8% | 0.39 | 0.13 | 7.7x | 31 | 72% |
| Donchian 채널 돌파 entryN=28, exitN=40 |
4.2% | -36.0% | 0.33 | 0.12 | 4.9x | 145 | 61% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=15, mult=1.2 |
2.8% | -58.8% | 0.26 | 0.05 | 2.9x | 345 | 45% |
| SMA 크로스오버 fast=57, slow=192 |
2.5% | -45.7% | 0.23 | 0.05 | 2.6x | 59 | 62% |
| Supertrend period=12, mult=3.7 |
2.3% | -51.2% | 0.22 | 0.04 | 2.4x | 277 | 56% |
| MACD fast=17, slow=43, signal=13 |
1.1% | -69.6% | 0.15 | 0.02 | 1.5x | 485 | 51% |
| ADX / DI 방향성 period=28, threshold=17 |
-0.1% | -35.9% | 0.04 | -0.00 | 1.0x | 221 | 25% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-2.4% | -87.4% | -0.05 | -0.03 | 0.4x | 647 | 53% |
| Buy and hold | 7.9% | -69.1% | 0.43 | 0.11 | 17.9x | 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 5-day return is greater than -15%
- Sell — Sell when the 5-day return drops to -15% or below