Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Mitchells & Butlers plc backtest
10 trend-following strategies were compared on the full daily history of Mitchells & Butlers plc. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -7.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.5%, drawdown -88.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.9%, MDD -49.7%, Sharpe 0.42, 73% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 39.0%p (CAGR 0.5%, MDD -7.9%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=146, threshold=-0.12 |
7.9% | -49.7% | 0.42 | 0.16 | 5.9x | 71 | 73% |
| Donchian 채널 돌파 entryN=59, exitN=69 |
5.2% | -64.7% | 0.34 | 0.08 | 3.3x | 45 | 54% |
| SMA 크로스오버 fast=8, slow=129 |
4.9% | -52.9% | 0.32 | 0.09 | 3.1x | 95 | 53% |
| Supertrend period=15, mult=3 |
5.3% | -55.3% | 0.32 | 0.09 | 3.3x | 117 | 53% |
| EMA 크로스오버 fast=26, slow=65 |
4.8% | -61.6% | 0.32 | 0.08 | 3.0x | 73 | 55% |
| 볼린저 밴드 돌파 n=41, k=1.7 |
4.3% | -53.4% | 0.30 | 0.08 | 2.7x | 135 | 38% |
| MACD fast=17, slow=34, signal=18 |
4.3% | -49.5% | 0.28 | 0.09 | 2.6x | 259 | 51% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=21, mult=1.4 |
3.7% | -52.2% | 0.27 | 0.07 | 2.3x | 147 | 38% |
| ADX / DI 방향성 period=30, threshold=37 |
0.5% | -7.9% | 0.15 | 0.06 | 1.1x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-0.8% | -68.2% | 0.10 | -0.01 | 0.8x | 215 | 51% |
| Buy and hold | 0.5% | -88.8% | 0.21 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 146-day return is greater than -12%
- Sell — Sell when the 146-day return drops to -12% or below