Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Marks and Spencer Group plc backtest
10 trend-following strategies were compared on the full daily history of Marks and Spencer Group plc. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.3%, MDD -45.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.8%, drawdown -89.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -53.3%, Sharpe 0.47, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 35.8%p (CAGR 5.3%, MDD -45.2%, exposure 58%).
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=103, slow=164 |
7.8% | -53.3% | 0.47 | 0.15 | 17.2x | 58 | 54% |
| EMA 크로스오버 fast=53, slow=217 |
5.3% | -45.2% | 0.36 | 0.12 | 7.0x | 43 | 58% |
| Donchian 채널 돌파 entryN=115, exitN=36 |
1.3% | -43.4% | 0.16 | 0.03 | 1.6x | 70 | 33% |
| ROC 모멘텀 n=194, threshold=0.1 |
1.2% | -70.0% | 0.15 | 0.02 | 1.6x | 222 | 40% |
| ADX / DI 방향성 period=73, threshold=12 |
0.6% | -42.9% | 0.11 | 0.01 | 1.3x | 70 | 19% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=23, mult=3.2 |
-0.4% | -63.0% | 0.04 | -0.01 | 0.9x | 143 | 29% |
| 볼린저 밴드 돌파 n=47, k=1.7 |
-0.7% | -75.0% | 0.04 | -0.01 | 0.8x | 199 | 35% |
| Supertrend period=27, mult=5 |
-1.2% | -86.7% | 0.02 | -0.01 | 0.6x | 171 | 46% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.1% | -92.7% | -0.09 | -0.04 | 0.2x | 333 | 51% |
| MACD fast=15, slow=23, signal=10 |
-7.7% | -97.9% | -0.24 | -0.08 | 0.0x | 709 | 50% |
| Buy and hold | 1.8% | -89.1% | 0.21 | 0.02 | 2.0x | 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 103-day average price crosses above the 164-day average
- Sell — Sell (to cash) when the 103-day average falls below the 164-day average