Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Grafton Group Plc backtest
10 trend-following strategies were compared on the full daily history of Grafton Group Plc. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.0%, MDD -31.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.9%, drawdown -90.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.1%, MDD -34.4%, Sharpe 0.53, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 55.9%p (CAGR 5.0%, MDD -31.7%, exposure 24%).
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=12, slow=83 |
10.1% | -34.4% | 0.53 | 0.29 | 10.2x | 83 | 55% |
| EMA 크로스오버 fast=32, slow=46 |
8.8% | -45.1% | 0.48 | 0.19 | 7.5x | 83 | 55% |
| ADX / DI 방향성 period=22, threshold=26 |
3.9% | -24.2% | 0.39 | 0.16 | 2.5x | 50 | 15% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=20, mult=3.3 |
5.0% | -31.7% | 0.38 | 0.16 | 3.2x | 56 | 24% |
| Donchian 채널 돌파 entryN=38, exitN=44 |
6.4% | -59.6% | 0.37 | 0.11 | 4.4x | 63 | 58% |
| 볼린저 밴드 돌파 n=58, k=1.3 |
4.2% | -53.0% | 0.30 | 0.08 | 2.7x | 117 | 43% |
| ROC 모멘텀 n=66, threshold=0.04 |
2.5% | -59.9% | 0.22 | 0.04 | 1.8x | 251 | 47% |
| Supertrend period=28, mult=3.5 |
1.6% | -53.8% | 0.19 | 0.03 | 1.5x | 127 | 55% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-6.2% | -85.6% | -0.10 | -0.07 | 0.2x | 525 | 52% |
| MACD fast=12, slow=31, signal=15 |
-8.4% | -90.9% | -0.20 | -0.09 | 0.1x | 389 | 51% |
| Buy and hold | 4.9% | -90.3% | 0.32 | 0.05 | 3.1x | 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 12-day average price crosses above the 83-day average
- Sell — Sell (to cash) when the 12-day average falls below the 83-day average