Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Currys PLC backtest
10 trend-following strategies were compared on the full daily history of Currys PLC. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.9%, MDD -10.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.8%, drawdown -91.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.2%, MDD -48.4%, Sharpe 0.60, 49% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.7%, MDD -67.1%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.0%p higher than buy and hold, while drawdown improves by 42.9%p (CAGR 0.9%, MDD -10.5%, exposure 2%).
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=53, slow=188 |
12.2% | -48.4% | 0.60 | 0.25 | 6.9x | 9 | 49% |
| ROC 모멘텀 n=191, threshold=0.06 |
11.1% | -47.5% | 0.58 | 0.23 | 5.8x | 41 | 45% |
| SMA 크로스오버 fast=64, slow=155 |
12.7% | -67.1% | 0.58 | 0.19 | 7.5x | 19 | 52% |
| Donchian 채널 돌파 entryN=114, exitN=44 |
6.1% | -42.9% | 0.39 | 0.14 | 2.7x | 25 | 39% |
| 볼린저 밴드 돌파 n=37, k=3 |
3.9% | -40.9% | 0.39 | 0.09 | 1.9x | 29 | 14% |
| Supertrend period=18, mult=4.8 |
4.7% | -77.0% | 0.31 | 0.06 | 2.2x | 45 | 54% |
| ADX / DI 방향성 period=37, threshold=30 |
0.9% | -10.5% | 0.26 | 0.09 | 1.2x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=21, mult=3 |
1.9% | -67.1% | 0.20 | 0.03 | 1.4x | 49 | 22% |
| MACD fast=13, slow=22, signal=7 |
-4.7% | -84.3% | -0.00 | -0.06 | 0.4x | 331 | 50% |
| Parabolic SAR step=0.045, maxStep=0.2 |
-5.3% | -86.0% | -0.03 | -0.06 | 0.4x | 545 | 51% |
| Buy and hold | -0.8% | -91.3% | 0.20 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 188-day EMA
- Sell — Sell when the 53-day EMA falls below the 188-day EMA