Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Inchcape plc backtest
10 trend-following strategies were compared on the full daily history of Inchcape plc. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 3.9%, drawdown -94.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.9%, MDD -88.4%, Sharpe 0.19, 58% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 4.4%, MDD -83.8%, exposure 43%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=38, slow=66 |
3.9% | -88.4% | 0.19 | 0.04 | 4.3x | 103 | 58% |
| Keltner 채널 돌파 emaPeriod=80, atrPeriod=10, mult=3 |
4.4% | -83.8% | 0.18 | 0.05 | 5.1x | 110 | 43% |
| Donchian 채널 돌파 entryN=93, exitN=75 |
3.4% | -89.7% | 0.18 | 0.04 | 3.6x | 65 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.8% | -76.4% | 0.17 | 0.02 | 2.0x | 231 | 57% |
| ROC 모멘텀 n=119, threshold=-0.03 |
0.9% | -95.8% | 0.16 | 0.01 | 1.4x | 299 | 64% |
| MACD fast=19, slow=40, signal=16 |
-2.0% | -94.2% | 0.13 | -0.02 | 0.5x | 391 | 46% |
| SMA 크로스오버 fast=7, slow=109 |
-1.3% | -90.2% | 0.11 | -0.01 | 0.6x | 167 | 50% |
| 볼린저 밴드 돌파 n=30, k=1.6 |
-3.4% | -96.6% | 0.10 | -0.03 | 0.3x | 287 | 42% |
| ADX / DI 방향성 period=10, threshold=23 |
-8.0% | -98.8% | 0.05 | -0.08 | 0.0x | 621 | 44% |
| Supertrend period=23, mult=2.7 |
-9.8% | -99.9% | 0.04 | -0.10 | 0.0x | 425 | 57% |
| Buy and hold | 3.9% | -94.1% | 0.23 | 0.04 | 4.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 38-day EMA crosses above the 66-day EMA
- Sell — Sell when the 38-day EMA falls below the 66-day EMA