Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Investec plc backtest
10 trend-following strategies were compared on the full daily history of Investec plc. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.9%, MDD -38.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.2%, drawdown -78.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.9%, MDD -38.6%, Sharpe 0.54, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 9.9%, MDD -38.6%, exposure 60%).
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=49, slow=202 |
9.9% | -38.6% | 0.54 | 0.26 | 9.8x | 25 | 60% |
| SMA 크로스오버 fast=44, slow=208 |
8.5% | -43.0% | 0.49 | 0.20 | 7.1x | 33 | 57% |
| ROC 모멘텀 n=161, threshold=0.07 |
5.0% | -53.5% | 0.34 | 0.09 | 3.2x | 175 | 47% |
| Donchian 채널 돌파 entryN=103, exitN=77 |
3.6% | -63.6% | 0.27 | 0.06 | 2.4x | 35 | 52% |
| ADX / DI 방향성 period=29, threshold=31 |
0.9% | -11.2% | 0.26 | 0.08 | 1.3x | 8 | 2% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=28, mult=3.8 |
1.2% | -20.0% | 0.23 | 0.06 | 1.3x | 16 | 4% |
| 볼린저 밴드 돌파 n=58, k=2.8 |
1.9% | -34.5% | 0.23 | 0.06 | 1.6x | 34 | 13% |
| Supertrend period=12, mult=4.7 |
1.2% | -82.8% | 0.16 | 0.01 | 1.3x | 88 | 58% |
| MACD fast=16, slow=26, signal=17 |
-3.0% | -76.7% | 0.00 | -0.04 | 0.5x | 355 | 50% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-3.2% | -81.2% | -0.01 | -0.04 | 0.5x | 411 | 54% |
| Buy and hold | 7.2% | -78.6% | 0.37 | 0.09 | 5.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 202-day EMA
- Sell — Sell when the 49-day EMA falls below the 202-day EMA