Trend-Following Backtester · Guide · backtest 한국어
equity · GB
S4 Capital plc backtest
10 trend-following strategies were compared on the full daily history of S4 Capital plc. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.6%, MDD -32.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -16.2%, drawdown -98.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.5%, MDD -57.6%, Sharpe 0.62, 45% exposure.
CAGR reference leader: Supertrend — CAGR 18.6%, MDD -50.5%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 33.7%p higher than buy and hold, while drawdown improves by 40.6%p (CAGR 1.6%, MDD -32.2%, exposure 5%).
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=71, slow=155 |
17.5% | -57.6% | 0.62 | 0.30 | 4.7x | 13 | 45% |
| Supertrend period=8, mult=4.1 |
18.6% | -50.5% | 0.61 | 0.37 | 5.1x | 33 | 48% |
| EMA 크로스오버 fast=59, slow=170 |
12.2% | -51.1% | 0.57 | 0.24 | 3.0x | 7 | 37% |
| ROC 모멘텀 n=91, threshold=-0.01 |
11.9% | -55.8% | 0.47 | 0.21 | 2.9x | 67 | 46% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=15, mult=1.8 |
9.8% | -68.1% | 0.44 | 0.14 | 2.4x | 40 | 32% |
| Donchian 채널 돌파 entryN=60, exitN=77 |
9.2% | -71.2% | 0.41 | 0.13 | 2.3x | 11 | 51% |
| 볼린저 밴드 돌파 n=48, k=2.4 |
4.9% | -53.4% | 0.32 | 0.09 | 1.6x | 26 | 27% |
| ADX / DI 방향성 period=17, threshold=45 |
1.6% | -32.2% | 0.16 | 0.05 | 1.2x | 10 | 5% |
| Parabolic SAR step=0.035, maxStep=0.26 |
-8.3% | -96.7% | 0.04 | -0.09 | 0.4x | 237 | 49% |
| MACD fast=15, slow=58, signal=13 |
-17.9% | -97.7% | -0.19 | -0.18 | 0.2x | 113 | 49% |
| Buy and hold | -16.2% | -98.2% | 0.02 | -0.16 | 0.2x | 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 71-day average price crosses above the 155-day average
- Sell — Sell (to cash) when the 71-day average falls below the 155-day average