Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Ocado Group PLC backtest
10 trend-following strategies were compared on the full daily history of Ocado Group PLC. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 20.9%, MDD -41.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.2%, drawdown -94.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 20.9%, MDD -41.6%, Sharpe 0.76, 24% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 21.6%, MDD -45.4%, exposure 25%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.6%p higher than buy and hold, while drawdown improves by 52.9%p (CAGR 20.9%, MDD -41.6%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=20 |
20.9% | -41.6% | 0.76 | 0.50 | 21.1x | 32 | 24% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=26, mult=2 |
21.6% | -45.4% | 0.73 | 0.48 | 23.3x | 87 | 25% |
| Donchian 채널 돌파 entryN=89, exitN=26 |
18.1% | -51.1% | 0.67 | 0.35 | 14.6x | 27 | 27% |
| 볼린저 밴드 돌파 n=19, k=1.8 |
19.3% | -50.6% | 0.65 | 0.38 | 17.1x | 163 | 34% |
| Supertrend period=27, mult=4 |
18.8% | -63.1% | 0.64 | 0.30 | 16.1x | 63 | 40% |
| Parabolic SAR step=0.045, maxStep=0.1 |
16.3% | -74.3% | 0.56 | 0.22 | 11.3x | 370 | 48% |
| MACD fast=22, slow=47, signal=13 |
16.1% | -75.1% | 0.55 | 0.21 | 11.1x | 167 | 51% |
| ROC 모멘텀 n=12, threshold=0 |
11.6% | -68.3% | 0.46 | 0.17 | 5.9x | 421 | 49% |
| EMA 크로스오버 fast=23, slow=99 |
10.7% | -81.0% | 0.45 | 0.13 | 5.2x | 43 | 43% |
| SMA 크로스오버 fast=12, slow=163 |
5.3% | -80.3% | 0.32 | 0.07 | 2.3x | 39 | 41% |
| Buy and hold | 2.2% | -94.5% | 0.32 | 0.02 | 1.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)