Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Mony Group PLC backtest
10 trend-following strategies were compared on the full daily history of Mony Group PLC. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.0%, MDD -37.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.1%, drawdown -84.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -42.0%, Sharpe 0.42, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 42.0%p (CAGR 2.0%, MDD -37.6%, exposure 22%).
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=69, slow=176 |
7.0% | -42.0% | 0.42 | 0.17 | 3.6x | 27 | 49% |
| EMA 크로스오버 fast=58, slow=142 |
5.1% | -40.6% | 0.34 | 0.13 | 2.6x | 23 | 48% |
| 볼린저 밴드 돌파 n=70, k=2.5 |
2.0% | -37.6% | 0.21 | 0.05 | 1.5x | 37 | 22% |
| Donchian 채널 돌파 entryN=91, exitN=62 |
1.2% | -46.1% | 0.16 | 0.03 | 1.3x | 25 | 40% |
| ROC 모멘텀 n=143, threshold=0.01 |
0.4% | -64.7% | 0.13 | 0.01 | 1.1x | 171 | 48% |
| ADX / DI 방향성 period=12, threshold=37 |
0.3% | -40.5% | 0.09 | 0.01 | 1.1x | 64 | 8% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=11, mult=2.3 |
-0.2% | -42.7% | 0.03 | -0.00 | 1.0x | 52 | 10% |
| Supertrend period=21, mult=5 |
-2.2% | -69.0% | 0.01 | -0.03 | 0.7x | 49 | 48% |
| MACD fast=26, slow=62, signal=12 |
-6.7% | -85.1% | -0.16 | -0.08 | 0.3x | 215 | 50% |
| Parabolic SAR step=0.045, maxStep=0.32 |
-8.4% | -91.0% | -0.22 | -0.09 | 0.2x | 679 | 51% |
| Buy and hold | 1.1% | -84.0% | 0.21 | 0.01 | 1.2x | 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 69-day average price crosses above the 176-day average
- Sell — Sell (to cash) when the 69-day average falls below the 176-day average