Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Kainos Group PLC backtest
10 trend-following strategies were compared on the full daily history of Kainos Group PLC. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.3%, MDD -50.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.7%, drawdown -71.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.4%, MDD -23.7%, Sharpe 0.58, 22% exposure.
CAGR reference leader: Parabolic SAR — CAGR 13.7%, MDD -67.0%, exposure 51%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.4%p lower than buy and hold, while drawdown improves by 47.9%p (CAGR 13.3%, MDD -50.6%, exposure 56%).
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=8, threshold=37 |
10.4% | -23.7% | 0.58 | 0.44 | 3.0x | 96 | 22% |
| Parabolic SAR step=0.02, maxStep=0.06 |
13.7% | -67.0% | 0.55 | 0.20 | 4.1x | 153 | 51% |
| SMA 크로스오버 fast=48, slow=207 |
13.3% | -50.6% | 0.54 | 0.26 | 4.0x | 10 | 56% |
| EMA 크로스오버 fast=45, slow=207 |
12.3% | -54.5% | 0.52 | 0.23 | 3.6x | 8 | 53% |
| Supertrend period=11, mult=1.7 |
11.8% | -70.9% | 0.51 | 0.17 | 3.4x | 115 | 50% |
| Donchian 채널 돌파 entryN=89, exitN=102 |
11.6% | -54.8% | 0.49 | 0.21 | 3.4x | 10 | 58% |
| MACD fast=11, slow=42, signal=11 |
10.5% | -77.7% | 0.47 | 0.14 | 3.0x | 173 | 49% |
| 볼린저 밴드 돌파 n=24, k=2.1 |
7.1% | -37.3% | 0.40 | 0.19 | 2.1x | 67 | 29% |
| ROC 모멘텀 n=103, threshold=-0.04 |
8.5% | -67.1% | 0.40 | 0.13 | 2.5x | 77 | 61% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=29, mult=1.4 |
6.8% | -39.1% | 0.38 | 0.17 | 2.1x | 65 | 38% |
| Buy and hold | 15.7% | -71.6% | 0.55 | 0.22 | 5.0x | 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, 8-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)