Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Experian PLC backtest
10 trend-following strategies were compared on the full daily history of Experian PLC. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.1%, MDD -41.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.3%, drawdown -56.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.1%, MDD -41.8%, Sharpe 0.44, 71% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 14.8%p (CAGR 7.1%, MDD -41.8%, exposure 71%).
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=116, slow=239 |
7.1% | -41.8% | 0.44 | 0.17 | 3.9x | 14 | 71% |
| SMA 크로스오버 fast=10, slow=211 |
3.9% | -44.6% | 0.30 | 0.09 | 2.2x | 44 | 64% |
| ROC 모멘텀 n=143, threshold=-0.03 |
2.2% | -43.5% | 0.21 | 0.05 | 1.6x | 136 | 70% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=27, mult=3.8 |
1.4% | -19.3% | 0.21 | 0.07 | 1.3x | 32 | 18% |
| ADX / DI 방향성 period=30, threshold=20 |
1.1% | -23.8% | 0.19 | 0.04 | 1.2x | 42 | 13% |
| Donchian 채널 돌파 entryN=19, exitN=72 |
1.5% | -53.1% | 0.18 | 0.03 | 1.3x | 57 | 83% |
| Supertrend period=29, mult=3.5 |
1.5% | -48.9% | 0.17 | 0.03 | 1.3x | 105 | 61% |
| 볼린저 밴드 돌파 n=53, k=1.1 |
-0.4% | -41.5% | 0.06 | -0.01 | 0.9x | 135 | 49% |
| MACD fast=17, slow=45, signal=16 |
-2.4% | -52.0% | -0.05 | -0.05 | 0.6x | 259 | 50% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.7% | -59.4% | -0.11 | -0.06 | 0.5x | 187 | 56% |
| Buy and hold | 8.3% | -56.6% | 0.43 | 0.15 | 4.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 116-day EMA crosses above the 239-day EMA
- Sell — Sell when the 116-day EMA falls below the 239-day EMA