Trend-Following Backtester · Guide · backtest 한국어
equity · GB
WH Smith PLC backtest
10 trend-following strategies were compared on the full daily history of WH Smith PLC. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.6%, MDD -9.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.8%, drawdown -85.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.6%, MDD -9.9%, Sharpe 0.30, 11% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.1%, MDD -40.4%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 75.6%p (CAGR 1.6%, MDD -9.9%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=20, k=3.5 |
1.6% | -9.9% | 0.30 | 0.16 | 1.4x | 6 | 11% |
| Donchian 채널 돌파 entryN=97, exitN=79 |
3.1% | -40.4% | 0.26 | 0.08 | 2.0x | 28 | 51% |
| EMA 크로스오버 fast=39, slow=92 |
1.8% | -58.6% | 0.19 | 0.03 | 1.5x | 44 | 48% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=23, mult=4 |
1.2% | -29.8% | 0.17 | 0.04 | 1.3x | 26 | 13% |
| SMA 크로스오버 fast=14, slow=174 |
1.3% | -53.2% | 0.16 | 0.02 | 1.3x | 60 | 51% |
| ROC 모멘텀 n=147, threshold=-0.04 |
-0.6% | -69.1% | 0.08 | -0.01 | 0.9x | 154 | 67% |
| ADX / DI 방향성 period=18, threshold=31 |
0.2% | -21.6% | 0.06 | 0.01 | 1.0x | 46 | 8% |
| Supertrend period=28, mult=4.1 |
-4.6% | -84.3% | -0.07 | -0.05 | 0.4x | 72 | 63% |
| MACD fast=18, slow=57, signal=11 |
-6.2% | -80.9% | -0.14 | -0.08 | 0.2x | 257 | 54% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-8.0% | -87.2% | -0.23 | -0.09 | 0.2x | 179 | 48% |
| Buy and hold | 0.8% | -85.6% | 0.20 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 20-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 20-day middle average