Trend-Following Backtester · Guide · backtest 한국어
equity · GB
BT Group plc backtest
10 trend-following strategies were compared on the full daily history of BT Group plc. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.2%, MDD -21.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.7%, drawdown -93.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.3%, MDD -46.2%, Sharpe 0.26, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 47.0%p (CAGR 1.2%, MDD -21.4%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=41, slow=171 |
3.3% | -46.2% | 0.26 | 0.07 | 3.5x | 60 | 53% |
| SMA 크로스오버 fast=39, slow=153 |
2.5% | -52.7% | 0.22 | 0.05 | 2.6x | 72 | 53% |
| ADX / DI 방향성 period=20, threshold=31 |
1.2% | -21.4% | 0.21 | 0.05 | 1.6x | 56 | 6% |
| Donchian 채널 돌파 entryN=120, exitN=77 |
2.1% | -54.1% | 0.20 | 0.04 | 2.2x | 48 | 46% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=3.2 |
-0.6% | -60.4% | 0.03 | -0.01 | 0.8x | 136 | 28% |
| Supertrend period=11, mult=5 |
-1.8% | -84.9% | 0.02 | -0.02 | 0.5x | 156 | 51% |
| 볼린저 밴드 돌파 n=32, k=2.7 |
-0.5% | -48.0% | 0.01 | -0.01 | 0.8x | 116 | 16% |
| ROC 모멘텀 n=139, threshold=-0.02 |
-3.2% | -81.8% | -0.04 | -0.04 | 0.3x | 297 | 58% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-7.8% | -97.7% | -0.25 | -0.08 | 0.0x | 319 | 51% |
| MACD fast=35, slow=40, signal=23 |
-8.2% | -98.9% | -0.27 | -0.08 | 0.0x | 343 | 51% |
| Buy and hold | -0.7% | -93.2% | 0.14 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 41-day EMA crosses above the 171-day EMA
- Sell — Sell when the 41-day EMA falls below the 171-day EMA