Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Safestore Holdings plc backtest
10 trend-following strategies were compared on the full daily history of Safestore Holdings plc. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.6%, MDD -40.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.0%, drawdown -85.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.4%, MDD -42.2%, Sharpe 0.61, 60% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 43.2%p (CAGR 5.6%, MDD -40.2%, exposure 57%).
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=114 |
12.4% | -42.2% | 0.61 | 0.29 | 9.6x | 42 | 60% |
| EMA 크로스오버 fast=52, slow=169 |
9.2% | -45.4% | 0.50 | 0.20 | 5.6x | 20 | 60% |
| Donchian 채널 돌파 entryN=20, exitN=104 |
8.6% | -61.9% | 0.43 | 0.14 | 5.0x | 31 | 82% |
| ROC 모멘텀 n=126, threshold=0.02 |
5.6% | -40.2% | 0.36 | 0.14 | 2.9x | 140 | 57% |
| ADX / DI 방향성 period=30, threshold=16 |
3.3% | -38.8% | 0.29 | 0.09 | 1.9x | 104 | 28% |
| Parabolic SAR step=0.005, maxStep=0.18 |
3.1% | -59.5% | 0.25 | 0.05 | 1.8x | 163 | 54% |
| 볼린저 밴드 돌파 n=54, k=1.8 |
2.2% | -36.6% | 0.21 | 0.06 | 1.5x | 88 | 38% |
| Supertrend period=16, mult=3.5 |
1.6% | -60.8% | 0.18 | 0.03 | 1.4x | 86 | 57% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=10, mult=1.4 |
0.4% | -41.7% | 0.12 | 0.01 | 1.1x | 124 | 42% |
| MACD fast=18, slow=33, signal=19 |
-3.5% | -72.6% | -0.03 | -0.05 | 0.5x | 241 | 51% |
| Buy and hold | 5.0% | -85.3% | 0.31 | 0.06 | 2.6x | 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 114-day average
- Sell — Sell (to cash) when the 51-day average falls below the 114-day average