Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Morgan Sindall Group plc backtest
10 trend-following strategies were compared on the full daily history of Morgan Sindall Group plc. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.3%, MDD -39.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 8.3%, drawdown -83.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.2%, MDD -47.2%, Sharpe 0.65, 37% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.1%, MDD -53.9%, exposure 56%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 35.9%p (CAGR 8.3%, MDD -39.0%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=54, exitN=16 |
11.2% | -47.2% | 0.65 | 0.24 | 56.3x | 140 | 37% |
| SMA 크로스오버 fast=44, slow=85 |
13.1% | -53.9% | 0.64 | 0.24 | 109.4x | 111 | 56% |
| Supertrend period=25, mult=4.9 |
12.6% | -67.1% | 0.64 | 0.19 | 91.6x | 152 | 55% |
| 볼린저 밴드 돌파 n=77, k=1.6 |
10.8% | -56.1% | 0.61 | 0.19 | 49.7x | 110 | 42% |
| Keltner 채널 돌파 emaPeriod=99, atrPeriod=11, mult=2.6 |
10.3% | -56.0% | 0.58 | 0.18 | 42.1x | 96 | 44% |
| ADX / DI 방향성 period=16, threshold=27 |
8.3% | -39.0% | 0.56 | 0.21 | 20.6x | 208 | 28% |
| EMA 크로스오버 fast=43, slow=55 |
10.5% | -63.1% | 0.55 | 0.17 | 45.5x | 89 | 57% |
| ROC 모멘텀 n=81, threshold=-0.01 |
9.7% | -77.5% | 0.51 | 0.12 | 33.8x | 301 | 58% |
| MACD fast=10, slow=55, signal=17 |
7.1% | -63.6% | 0.41 | 0.11 | 13.7x | 430 | 52% |
| Parabolic SAR step=0.01, maxStep=0.36 |
6.6% | -72.2% | 0.39 | 0.09 | 11.2x | 422 | 51% |
| Buy and hold | 8.3% | -83.2% | 0.40 | 0.10 | 20.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 54 days
- Sell — Sell when price breaks below the lowest low of the last 16 days