Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Frasers Group PLC backtest
10 trend-following strategies were compared on the full daily history of Frasers Group PLC. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.5%, drawdown -88.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -70.0%, Sharpe 0.42, 53% exposure.
CAGR reference leader: MACD — CAGR 13.4%, MDD -86.0%, exposure 57%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=66, slow=105 |
9.4% | -70.0% | 0.42 | 0.13 | 8.6x | 51 | 53% |
| EMA 크로스오버 fast=18, slow=132 |
4.9% | -68.6% | 0.31 | 0.07 | 3.1x | 65 | 52% |
| Supertrend period=4, mult=5 |
-0.7% | -96.6% | 0.25 | -0.01 | 0.8x | 65 | 56% |
| MACD fast=51, slow=73, signal=24 |
13.4% | -86.0% | 0.22 | 0.16 | 20.4x | 123 | 57% |
| Donchian 채널 돌파 entryN=33, exitN=43 |
6.0% | -98.6% | 0.21 | 0.06 | 4.1x | 71 | 66% |
| ROC 모멘텀 n=99, threshold=-0.04 |
2.0% | -99.5% | 0.20 | 0.02 | 1.6x | 191 | 65% |
| ADX / DI 방향성 period=34, threshold=14 |
0.1% | -53.7% | 0.12 | 0.00 | 1.0x | 136 | 24% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-16.6% | -99.8% | -0.07 | -0.17 | 0.0x | 185 | 48% |
| Keltner 채널 돌파 emaPeriod=98, atrPeriod=12, mult=2.3 |
-12.7% | -99.7% | -0.13 | -0.13 | 0.0x | 71 | 37% |
| 볼린저 밴드 돌파 n=39, k=3.5 |
-6.9% | -89.1% | -0.19 | -0.08 | 0.2x | 20 | 6% |
| Buy and hold | 15.5% | -88.8% | 0.23 | 0.17 | 31.9x | 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 66-day average price crosses above the 105-day average
- Sell — Sell (to cash) when the 66-day average falls below the 105-day average