Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Helios Towers Plc backtest
10 trend-following strategies were compared on the full daily history of Helios Towers Plc. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.8%, MDD -27.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.6%, drawdown -71.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.8%, MDD -27.5%, Sharpe 0.67, 48% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 13.8%, MDD -27.5%, exposure 48%).
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=56, slow=195 |
13.8% | -27.5% | 0.67 | 0.50 | 2.4x | 7 | 48% |
| EMA 크로스오버 fast=54, slow=192 |
9.9% | -27.5% | 0.53 | 0.36 | 1.9x | 5 | 48% |
| MACD fast=24, slow=43, signal=15 |
11.3% | -44.4% | 0.50 | 0.26 | 2.1x | 63 | 50% |
| ROC 모멘텀 n=124, threshold=0.13 |
8.9% | -36.7% | 0.48 | 0.24 | 1.8x | 32 | 33% |
| 볼린저 밴드 돌파 n=23, k=2.5 |
6.7% | -43.2% | 0.42 | 0.16 | 1.6x | 30 | 18% |
| Donchian 채널 돌파 entryN=107, exitN=26 |
6.9% | -36.2% | 0.41 | 0.19 | 1.6x | 8 | 35% |
| Supertrend period=19, mult=4.8 |
7.9% | -56.7% | 0.40 | 0.14 | 1.7x | 14 | 51% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=22, mult=3.7 |
3.9% | -18.3% | 0.39 | 0.21 | 1.3x | 6 | 13% |
| ADX / DI 방향성 period=16, threshold=19 |
4.2% | -59.4% | 0.29 | 0.07 | 1.3x | 70 | 31% |
| Parabolic SAR step=0.005, maxStep=0.18 |
2.9% | -67.3% | 0.24 | 0.04 | 1.2x | 58 | 49% |
| Buy and hold | 7.6% | -71.2% | 0.38 | 0.11 | 1.7x | 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 56-day average price crosses above the 195-day average
- Sell — Sell (to cash) when the 56-day average falls below the 195-day average