Trend-Following Backtester · Guide · backtest 한국어
equity · GB
M.P. Evans Group PLC backtest
10 trend-following strategies were compared on the full daily history of M.P. Evans Group PLC. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.3%, MDD -39.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.4%, drawdown -68.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.3%, MDD -39.6%, Sharpe 0.50, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 29.1%p (CAGR 9.3%, MDD -39.6%, exposure 59%).
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=16, slow=215 |
9.3% | -39.6% | 0.50 | 0.23 | 29.5x | 61 | 59% |
| EMA 크로스오버 fast=45, slow=172 |
8.9% | -41.3% | 0.49 | 0.22 | 25.8x | 45 | 60% |
| ADX / DI 방향성 period=23, threshold=46 |
2.9% | -13.1% | 0.46 | 0.22 | 3.0x | 36 | 7% |
| Donchian 채널 돌파 entryN=45, exitN=74 |
8.1% | -51.9% | 0.45 | 0.16 | 19.2x | 77 | 66% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=19, mult=3 |
4.1% | -26.1% | 0.44 | 0.16 | 4.6x | 156 | 15% |
| ROC 모멘텀 Hold-like · Exposure 99% n=7, threshold=-0.13 |
6.8% | -67.8% | 0.37 | 0.10 | 12.3x | 37 | 99% |
| Supertrend period=27, mult=4.5 |
5.7% | -58.3% | 0.36 | 0.10 | 8.2x | 220 | 49% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
2.2% | -38.9% | 0.29 | 0.06 | 2.3x | 90 | 12% |
| Parabolic SAR step=0.015, maxStep=0.1 |
1.6% | -78.7% | 0.18 | 0.02 | 1.8x | 511 | 49% |
| MACD fast=44, slow=56, signal=21 |
1.2% | -64.6% | 0.16 | 0.02 | 1.6x | 281 | 51% |
| Buy and hold | 8.4% | -68.7% | 0.41 | 0.12 | 21.6x | 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 16-day average price crosses above the 215-day average
- Sell — Sell (to cash) when the 16-day average falls below the 215-day average