Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Restore PLC backtest
10 trend-following strategies were compared on the full daily history of Restore PLC. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.6%, MDD -32.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.3%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.1%, MDD -44.8%, Sharpe 0.66, 60% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 27.4%p higher than buy and hold, while drawdown improves by 55.1%p (CAGR 2.6%, MDD -32.1%, exposure 12%).
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=51, slow=157 |
14.1% | -44.8% | 0.66 | 0.32 | 34.0x | 31 | 60% |
| ROC 모멘텀 n=142, threshold=-0.04 |
11.9% | -65.8% | 0.57 | 0.18 | 19.9x | 139 | 64% |
| Donchian 채널 돌파 entryN=97, exitN=100 |
9.5% | -49.8% | 0.51 | 0.19 | 11.2x | 25 | 58% |
| Supertrend period=23, mult=1.7 |
8.9% | -72.8% | 0.42 | 0.12 | 9.7x | 376 | 49% |
| EMA 크로스오버 fast=27, slow=107 |
-4.0% | -98.6% | 0.34 | -0.04 | 0.3x | 47 | 59% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
2.6% | -32.1% | 0.32 | 0.08 | 2.0x | 28 | 12% |
| Parabolic SAR step=0.04, maxStep=0.26 |
4.8% | -82.1% | 0.30 | 0.06 | 3.5x | 669 | 50% |
| ADX / DI 방향성 period=24, threshold=38 |
1.0% | -34.8% | 0.16 | 0.03 | 1.3x | 32 | 6% |
| MACD fast=6, slow=26, signal=4 |
-1.4% | -90.3% | 0.13 | -0.02 | 0.7x | 834 | 48% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=8, mult=1.2 |
-13.1% | -99.5% | 0.02 | -0.13 | 0.0x | 193 | 45% |
| Buy and hold | -13.3% | -100.0% | 0.18 | -0.13 | 0.0x | 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 51-day average price crosses above the 157-day average
- Sell — Sell (to cash) when the 51-day average falls below the 157-day average