Trend-Following Backtester · Guide · backtest 한국어
equity · GB
ITV PLC backtest
10 trend-following strategies were compared on the full daily history of ITV PLC. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.3%, MDD -30.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -7.1%, drawdown -96.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.0%, MDD -52.2%, Sharpe 0.36, 46% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.1%p higher than buy and hold, while drawdown improves by 44.6%p (CAGR 1.3%, MDD -30.1%, exposure 6%).
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=37, slow=116 |
6.0% | -52.2% | 0.36 | 0.11 | 4.7x | 52 | 46% |
| Donchian 채널 돌파 entryN=88, exitN=60 |
2.9% | -47.2% | 0.25 | 0.06 | 2.1x | 40 | 35% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=29, mult=2.7 |
2.4% | -51.6% | 0.23 | 0.05 | 1.9x | 72 | 24% |
| ADX / DI 방향성 period=39, threshold=17 |
1.6% | -39.2% | 0.18 | 0.04 | 1.5x | 68 | 19% |
| Supertrend period=24, mult=4.4 |
0.0% | -84.5% | 0.18 | 0.00 | 1.0x | 78 | 51% |
| EMA 크로스오버 fast=46, slow=109 |
1.6% | -64.1% | 0.18 | 0.02 | 1.5x | 48 | 45% |
| 볼린저 밴드 돌파 n=21, k=3.1 |
1.3% | -30.1% | 0.17 | 0.04 | 1.4x | 38 | 6% |
| ROC 모멘텀 n=102, threshold=0.14 |
1.4% | -43.5% | 0.17 | 0.03 | 1.4x | 176 | 25% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-9.1% | -96.5% | 0.04 | -0.09 | 0.1x | 234 | 50% |
| MACD fast=15, slow=58, signal=18 |
-21.1% | -99.8% | -0.19 | -0.21 | 0.0x | 324 | 50% |
| Buy and hold | -7.1% | -96.8% | 0.24 | -0.07 | 0.1x | 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 37-day average price crosses above the 116-day average
- Sell — Sell (to cash) when the 37-day average falls below the 116-day average