Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Everplay Group Plc backtest
10 trend-following strategies were compared on the full daily history of Everplay Group Plc. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.8%, MDD -34.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.3%, drawdown -82.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.8%, MDD -34.4%, Sharpe 0.74, 47% exposure.
CAGR reference leader: Parabolic SAR — CAGR 20.6%, MDD -43.5%, exposure 50%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 17.5%p higher than buy and hold, while drawdown improves by 48.5%p (CAGR 19.8%, MDD -34.4%, exposure 47%).
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=76, slow=100 |
19.8% | -34.4% | 0.74 | 0.58 | 4.5x | 18 | 47% |
| Parabolic SAR step=0.035, maxStep=0.2 |
20.6% | -43.5% | 0.74 | 0.47 | 4.7x | 199 | 50% |
| ROC 모멘텀 n=83, threshold=0.06 |
17.1% | -36.5% | 0.69 | 0.47 | 3.7x | 56 | 41% |
| Supertrend period=11, mult=0.9 |
13.9% | -38.1% | 0.56 | 0.36 | 2.9x | 177 | 49% |
| MACD fast=3, slow=28, signal=8 |
12.0% | -59.1% | 0.52 | 0.20 | 2.6x | 241 | 49% |
| EMA 크로스오버 fast=11, slow=213 |
10.5% | -53.8% | 0.49 | 0.19 | 2.3x | 12 | 43% |
| 볼린저 밴드 돌파 n=7, k=1.1 |
10.1% | -56.7% | 0.47 | 0.18 | 2.2x | 265 | 39% |
| Donchian 채널 돌파 entryN=95, exitN=33 |
6.3% | -58.4% | 0.36 | 0.11 | 1.7x | 12 | 38% |
| ADX / DI 방향성 period=27, threshold=37 |
1.5% | -15.9% | 0.24 | 0.09 | 1.1x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=20, mult=3.3 |
-1.0% | -45.8% | 0.01 | -0.02 | 0.9x | 16 | 14% |
| Buy and hold | 2.3% | -82.9% | 0.29 | 0.03 | 1.2x | 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 76-day average price crosses above the 100-day average
- Sell — Sell (to cash) when the 76-day average falls below the 100-day average