Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Goodwin PLC backtest
10 trend-following strategies were compared on the full daily history of Goodwin 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 17.0%, drawdown -67.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.3%, MDD -59.8%, Sharpe 0.55, 58% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 15.5%, MDD -72.0%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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=74, slow=193 |
13.3% | -59.8% | 0.55 | 0.22 | 117.4x | 48 | 58% |
| ROC 모멘텀 Hold-like · Exposure 99% n=5, threshold=-0.12 |
15.5% | -72.0% | 0.54 | 0.22 | 246.2x | 93 | 99% |
| Donchian 채널 돌파 entryN=72, exitN=74 |
12.7% | -61.1% | 0.53 | 0.21 | 95.3x | 59 | 63% |
| EMA 크로스오버 fast=14, slow=44 |
11.3% | -64.9% | 0.51 | 0.17 | 60.5x | 187 | 58% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
7.0% | -29.8% | 0.48 | 0.23 | 13.0x | 106 | 17% |
| ADX / DI 방향성 period=31, threshold=11 |
10.0% | -62.3% | 0.46 | 0.16 | 38.1x | 335 | 47% |
| MACD fast=9, slow=58, signal=17 |
10.2% | -77.5% | 0.46 | 0.13 | 40.5x | 480 | 49% |
| Parabolic SAR step=0.04, maxStep=0.08 |
9.4% | -58.4% | 0.44 | 0.16 | 31.1x | 714 | 51% |
| Supertrend period=27, mult=5 |
9.0% | -61.9% | 0.42 | 0.15 | 26.7x | 179 | 53% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=29, mult=3.9 |
6.0% | -49.0% | 0.37 | 0.12 | 9.1x | 110 | 33% |
| Buy and hold | 17.0% | -67.2% | 0.57 | 0.25 | 399.3x | 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 74-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 74-day average falls below the 193-day average