Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Breedon Group PLC backtest
10 trend-following strategies were compared on the full daily history of Breedon Group PLC. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.3%, MDD -34.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -55.7%).
Sharpe leader (same as main): Supertrend — CAGR 7.3%, MDD -34.7%, Sharpe 0.46, 55% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 21.0%p (CAGR 7.3%, MDD -34.7%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=3 |
7.3% | -34.7% | 0.46 | 0.21 | 3.6x | 105 | 55% |
| SMA 크로스오버 fast=50, slow=167 |
6.3% | -38.9% | 0.41 | 0.16 | 3.0x | 36 | 55% |
| ROC 모멘텀 n=158, threshold=-0.12 |
6.6% | -52.6% | 0.39 | 0.13 | 3.2x | 81 | 81% |
| EMA 크로스오버 fast=58, slow=150 |
5.8% | -37.0% | 0.37 | 0.16 | 2.8x | 24 | 62% |
| Donchian 채널 돌파 entryN=100, exitN=56 |
5.0% | -38.9% | 0.37 | 0.13 | 2.4x | 18 | 44% |
| ADX / DI 방향성 period=48, threshold=23 |
1.8% | -15.2% | 0.35 | 0.12 | 1.4x | 10 | 5% |
| 볼린저 밴드 돌파 n=59, k=1.1 |
2.0% | -48.0% | 0.20 | 0.04 | 1.4x | 95 | 44% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=27, mult=1.2 |
0.6% | -50.2% | 0.12 | 0.01 | 1.1x | 117 | 46% |
| MACD fast=5, slow=47, signal=6 |
-2.0% | -85.5% | -0.01 | -0.02 | 0.7x | 479 | 47% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-2.6% | -62.3% | -0.05 | -0.04 | 0.6x | 213 | 47% |
| Buy and hold | 7.9% | -55.7% | 0.41 | 0.14 | 4.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 3× band
- Sell — Sell when price drops below the trend line (flips down)