Trend-Following Backtester · Guide · backtest 한국어
equity · GB
RELX PLC backtest
10 trend-following strategies were compared on the full daily history of RELX PLC. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.2%, drawdown -52.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.4%, MDD -70.7%, Sharpe 0.36, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=6, threshold=-0.11 |
6.4% | -70.7% | 0.36 | 0.09 | 10.7x | 65 | 99% |
| SMA 크로스오버 fast=57, slow=213 |
3.2% | -59.0% | 0.26 | 0.05 | 3.4x | 56 | 64% |
| EMA 크로스오버 fast=6, slow=199 |
1.4% | -80.1% | 0.16 | 0.02 | 1.7x | 154 | 65% |
| ADX / DI 방향성 period=25, threshold=40 |
0.4% | -12.6% | 0.11 | 0.03 | 1.1x | 10 | 2% |
| Donchian 채널 돌파 entryN=39, exitN=62 |
-1.0% | -88.5% | 0.05 | -0.01 | 0.7x | 103 | 67% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=12, mult=4 |
-0.3% | -54.2% | 0.03 | -0.00 | 0.9x | 110 | 22% |
| Supertrend period=11, mult=4.3 |
-2.1% | -85.8% | -0.02 | -0.02 | 0.4x | 275 | 55% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.3% | -81.8% | -0.03 | -0.03 | 0.4x | 303 | 57% |
| MACD fast=18, slow=33, signal=19 |
-2.8% | -83.8% | -0.05 | -0.03 | 0.3x | 475 | 51% |
| 볼린저 밴드 돌파 n=46, k=2.5 |
-1.8% | -77.6% | -0.10 | -0.02 | 0.5x | 127 | 23% |
| Buy and hold | 7.2% | -52.0% | 0.39 | 0.14 | 14.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 6-day return is greater than -11%
- Sell — Sell when the 6-day return drops to -11% or below