Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Hammerson plc backtest
10 trend-following strategies were compared on the full daily history of Hammerson plc. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -9.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.9%, drawdown -97.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.8%, MDD -50.7%, Sharpe 0.34, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 46.6%p (CAGR 0.4%, MDD -9.4%, exposure 1%).
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=44, slow=151 |
4.8% | -50.7% | 0.34 | 0.10 | 6.0x | 63 | 54% |
| EMA 크로스오버 fast=57, slow=98 |
3.2% | -58.1% | 0.26 | 0.05 | 3.3x | 65 | 55% |
| Donchian 채널 돌파 entryN=101, exitN=97 |
1.5% | -74.6% | 0.17 | 0.02 | 1.7x | 49 | 55% |
| ROC 모멘텀 n=139, threshold=-0.03 |
0.8% | -77.6% | 0.13 | 0.01 | 1.3x | 227 | 61% |
| Supertrend period=20, mult=2.3 |
0.4% | -81.6% | 0.12 | 0.00 | 1.1x | 483 | 50% |
| ADX / DI 방향성 period=35, threshold=35 |
0.4% | -9.4% | 0.11 | 0.04 | 1.2x | 8 | 1% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=15, mult=3.5 |
-0.9% | -56.5% | -0.02 | -0.02 | 0.7x | 118 | 13% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-3.8% | -95.8% | -0.05 | -0.04 | 0.2x | 677 | 51% |
| MACD fast=16, slow=46, signal=18 |
-4.7% | -94.4% | -0.06 | -0.05 | 0.2x | 438 | 50% |
| 볼린저 밴드 돌파 n=25, k=2.6 |
-2.0% | -70.6% | -0.09 | -0.03 | 0.5x | 142 | 15% |
| Buy and hold | -3.9% | -97.2% | 0.06 | -0.04 | 0.2x | 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 44-day average price crosses above the 151-day average
- Sell — Sell (to cash) when the 44-day average falls below the 151-day average