Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Howden Joinery Group PLC backtest
10 trend-following strategies were compared on the full daily history of Howden Joinery Group PLC. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.4%, MDD -31.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.8%, drawdown -94.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.4%, MDD -31.8%, Sharpe 0.58, 19% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.8%, MDD -45.7%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 62.6%p (CAGR 8.4%, MDD -31.8%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=20 |
8.4% | -31.8% | 0.58 | 0.27 | 15.7x | 60 | 19% |
| Donchian 채널 돌파 entryN=88, exitN=69 |
9.8% | -45.7% | 0.50 | 0.21 | 24.2x | 56 | 54% |
| Keltner 채널 돌파 emaPeriod=129, atrPeriod=8, mult=2.9 |
8.4% | -56.1% | 0.48 | 0.15 | 15.7x | 106 | 45% |
| SMA 크로스오버 fast=56, slow=156 |
8.5% | -69.6% | 0.45 | 0.12 | 15.9x | 58 | 56% |
| EMA 크로스오버 fast=77, slow=205 |
7.0% | -63.1% | 0.39 | 0.11 | 9.9x | 40 | 59% |
| ROC 모멘텀 n=107, threshold=0.11 |
6.1% | -55.1% | 0.39 | 0.11 | 7.5x | 310 | 38% |
| Supertrend period=7, mult=5 |
6.6% | -76.6% | 0.37 | 0.09 | 8.7x | 187 | 58% |
| 볼린저 밴드 돌파 n=24, k=3.1 |
3.3% | -28.9% | 0.33 | 0.12 | 3.1x | 74 | 11% |
| Parabolic SAR step=0.005, maxStep=0.3 |
1.2% | -80.3% | 0.18 | 0.02 | 1.5x | 272 | 53% |
| MACD fast=12, slow=34, signal=17 |
-2.1% | -89.2% | 0.06 | -0.02 | 0.5x | 474 | 50% |
| Buy and hold | 5.8% | -94.4% | 0.34 | 0.06 | 6.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)