Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Big Yellow Group PLC backtest
10 trend-following strategies were compared on the full daily history of Big Yellow Group PLC. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.0%, MDD -48.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.7%, drawdown -77.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.3%, MDD -52.7%, Sharpe 0.58, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 24.9%p (CAGR 10.0%, MDD -48.5%, exposure 63%).
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=43, slow=233 |
10.3% | -52.7% | 0.58 | 0.20 | 13.0x | 22 | 58% |
| Donchian 채널 돌파 entryN=74, exitN=98 |
10.0% | -48.5% | 0.56 | 0.21 | 12.1x | 28 | 63% |
| Supertrend period=15, mult=5 |
9.4% | -54.0% | 0.52 | 0.17 | 10.6x | 56 | 57% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
4.9% | -15.7% | 0.51 | 0.31 | 3.5x | 20 | 11% |
| EMA 크로스오버 fast=77, slow=173 |
8.2% | -61.4% | 0.48 | 0.13 | 7.9x | 22 | 60% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=15, mult=2.6 |
4.0% | -57.0% | 0.32 | 0.07 | 2.8x | 88 | 30% |
| ROC 모멘텀 n=141, threshold=0.08 |
2.5% | -59.6% | 0.23 | 0.04 | 1.9x | 234 | 45% |
| ADX / DI 방향성 period=37, threshold=27 |
0.7% | -16.6% | 0.15 | 0.04 | 1.2x | 16 | 4% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-0.6% | -79.5% | 0.08 | -0.01 | 0.9x | 419 | 53% |
| MACD fast=25, slow=50, signal=19 |
-1.0% | -70.3% | 0.06 | -0.01 | 0.8x | 249 | 51% |
| Buy and hold | 7.7% | -77.6% | 0.39 | 0.10 | 6.9x | 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 43-day average price crosses above the 233-day average
- Sell — Sell (to cash) when the 43-day average falls below the 233-day average