Trend-Following Backtester · Guide · backtest 한국어

equity · GB

Sage Group plc backtest

10 trend-following strategies were compared on the full daily history of Sage Group plc. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.1%, MDD -49.9%).

Data 1989-12-13 ~ 2026-07-31daily bars 9,388 (36.6 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 17.5%, drawdown -89.4%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.6%, MDD -25.9%, Sharpe 0.90, 24% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 16.1%, MDD -49.9%, exposure 51%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.0%p lower than buy and hold, while drawdown improves by 63.5%p (CAGR 16.1%, MDD -49.9%, exposure 51%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=21, threshold=28
11.6%-25.9%0.900.4555.3x9624%
볼린저 밴드 돌파
n=16, k=3.4
5.1%-9.7%0.840.526.2x507%
Donchian 채널 돌파
entryN=92, exitN=60
16.1%-49.9%0.830.32235.3x5351%
Keltner 채널 돌파
emaPeriod=8, atrPeriod=14, mult=2.9
9.0%-37.3%0.820.2423.4x14313%
EMA 크로스오버
fast=46, slow=56
15.4%-60.3%0.740.25187.8x8963%
SMA 크로스오버
fast=36, slow=110
14.6%-57.6%0.710.25148.7x7062%
Supertrend
period=31, mult=5
11.2%-68.7%0.610.1648.1x18356%
ROC 모멘텀
n=69, threshold=0
11.6%-81.5%0.590.1455.9x33162%
Parabolic SAR
step=0.005, maxStep=0.18
9.5%-88.1%0.510.1127.4x25358%
MACD
fast=18, slow=59, signal=16
2.3%-92.5%0.210.022.3x42150%
Buy and hold17.5%-89.4%0.650.20373.0x1100%
1x 10x 100x 1990 1995 2000 2005 2010 2015 2020 2025 Donchian 채널 돌파ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -22% -45% -67% -89% 1990 1995 2000 2005 2010 2015 2020 2025 Buy and holdDonchian 채널 돌파ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -25.9% (1996-06-14 → 1997-07-23), recovered after 600 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

Read next