Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Playtech PLC backtest
10 trend-following strategies were compared on the full daily history of Playtech PLC. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.8%, MDD -11.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.6%, drawdown -86.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.4%, MDD -63.9%, Sharpe 0.39, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 22.3%p (CAGR 1.8%, MDD -11.3%, exposure 3%).
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=52, slow=56 |
7.4% | -63.9% | 0.39 | 0.12 | 4.3x | 184 | 51% |
| ROC 모멘텀 n=53, threshold=0.06 |
6.7% | -57.8% | 0.38 | 0.12 | 3.7x | 239 | 38% |
| ADX / DI 방향성 period=24, threshold=35 |
1.8% | -11.3% | 0.34 | 0.16 | 1.5x | 8 | 3% |
| Supertrend period=7, mult=3.9 |
4.3% | -66.7% | 0.31 | 0.06 | 2.3x | 79 | 56% |
| 볼린저 밴드 돌파 n=55, k=1.7 |
3.0% | -72.9% | 0.26 | 0.04 | 1.8x | 81 | 37% |
| Donchian 채널 돌파 entryN=51, exitN=62 |
1.2% | -78.7% | 0.20 | 0.02 | 1.3x | 43 | 54% |
| EMA 크로스오버 fast=43, slow=92 |
0.1% | -68.5% | 0.17 | 0.00 | 1.0x | 39 | 52% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=28, mult=3.4 |
0.9% | -44.6% | 0.13 | 0.02 | 1.2x | 32 | 10% |
| Parabolic SAR step=0.045, maxStep=0.24 |
-6.5% | -90.2% | -0.02 | -0.07 | 0.3x | 685 | 51% |
| MACD fast=6, slow=48, signal=14 |
-5.9% | -92.1% | -0.06 | -0.06 | 0.3x | 371 | 49% |
| Buy and hold | 1.6% | -86.2% | 0.27 | 0.02 | 1.4x | 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 52-day average price crosses above the 56-day average
- Sell — Sell (to cash) when the 52-day average falls below the 56-day average