Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Marshalls plc backtest
10 trend-following strategies were compared on the full daily history of Marshalls plc. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.5%, MDD -29.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.1%, drawdown -85.6%).
Sharpe leader (same as main): Supertrend — CAGR 4.2%, MDD -75.5%, Sharpe 0.30, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 10.1%p (CAGR 1.5%, MDD -29.2%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=2.6 |
4.2% | -75.5% | 0.30 | 0.06 | 4.8x | 333 | 54% |
| Donchian 채널 돌파 entryN=44, exitN=33 |
3.3% | -56.6% | 0.27 | 0.06 | 3.5x | 129 | 45% |
| ADX / DI 방향성 period=81, threshold=21 |
1.5% | -29.2% | 0.25 | 0.05 | 1.8x | 22 | 8% |
| SMA 크로스오버 fast=10, slow=63 |
2.9% | -62.5% | 0.24 | 0.05 | 3.0x | 193 | 54% |
| ROC 모멘텀 Hold-like · Exposure 99% n=5, threshold=-0.11 |
1.4% | -82.8% | 0.20 | 0.02 | 1.7x | 105 | 99% |
| 볼린저 밴드 돌파 n=65, k=1.7 |
1.8% | -62.4% | 0.19 | 0.03 | 2.0x | 145 | 37% |
| EMA 크로스오버 fast=9, slow=77 |
1.8% | -67.4% | 0.19 | 0.03 | 2.0x | 195 | 54% |
| MACD fast=22, slow=51, signal=24 |
1.0% | -68.4% | 0.15 | 0.02 | 1.5x | 325 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=2.6 |
0.7% | -53.7% | 0.12 | 0.01 | 1.3x | 166 | 34% |
| Parabolic SAR step=0.025, maxStep=0.06 |
-0.2% | -85.7% | 0.10 | -0.00 | 0.9x | 533 | 51% |
| Buy and hold | 1.1% | -85.6% | 0.19 | 0.01 | 1.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)