Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Greencore Group Plc backtest
10 trend-following strategies were compared on the full daily history of Greencore Group Plc. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.5%, MDD -29.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.1%, drawdown -88.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.9%, MDD -49.2%, Sharpe 0.43, 50% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.5%, MDD -57.9%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 38.9%p (CAGR 2.5%, MDD -29.2%, exposure 8%).
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=22, slow=378 |
6.9% | -49.2% | 0.43 | 0.14 | 6.0x | 23 | 50% |
| SMA 크로스오버 fast=43, slow=140 |
7.5% | -57.9% | 0.43 | 0.13 | 6.9x | 47 | 53% |
| ADX / DI 방향성 period=28, threshold=27 |
2.5% | -29.2% | 0.29 | 0.09 | 1.9x | 29 | 8% |
| Donchian 채널 돌파 entryN=108, exitN=71 |
3.5% | -55.6% | 0.26 | 0.06 | 2.5x | 36 | 47% |
| Supertrend period=12, mult=4.4 |
3.3% | -64.2% | 0.25 | 0.05 | 2.4x | 129 | 52% |
| 볼린저 밴드 돌파 n=45, k=1.7 |
2.9% | -50.3% | 0.24 | 0.06 | 2.1x | 135 | 35% |
| ROC 모멘텀 n=114, threshold=0.06 |
2.9% | -53.7% | 0.24 | 0.05 | 2.1x | 218 | 44% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=18, mult=1.6 |
1.5% | -62.6% | 0.17 | 0.02 | 1.5x | 171 | 42% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-2.1% | -87.7% | 0.06 | -0.02 | 0.6x | 433 | 53% |
| MACD fast=13, slow=26, signal=24 |
-3.0% | -85.4% | 0.02 | -0.04 | 0.4x | 326 | 49% |
| Buy and hold | 2.1% | -88.1% | 0.25 | 0.02 | 1.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 22-day EMA crosses above the 378-day EMA
- Sell — Sell when the 22-day EMA falls below the 378-day EMA