Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Senior plc backtest
10 trend-following strategies were compared on the full daily history of Senior plc. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.9%, MDD -51.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.4%, drawdown -92.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.6%, MDD -63.2%, Sharpe 0.39, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 29.5%p (CAGR 6.9%, MDD -51.7%, exposure 45%).
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=16, slow=197 |
7.6% | -63.2% | 0.39 | 0.12 | 16.4x | 77 | 57% |
| Donchian 채널 돌파 entryN=94, exitN=51 |
6.9% | -51.7% | 0.39 | 0.13 | 12.8x | 67 | 45% |
| EMA 크로스오버 fast=44, slow=146 |
6.9% | -64.9% | 0.37 | 0.11 | 12.8x | 63 | 58% |
| 볼린저 밴드 돌파 n=87, k=1.5 |
5.8% | -65.2% | 0.36 | 0.09 | 8.5x | 123 | 40% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=24, mult=3.9 |
3.8% | -57.8% | 0.30 | 0.07 | 4.1x | 79 | 23% |
| ROC 모멘텀 n=150, threshold=-0.01 |
3.2% | -77.3% | 0.25 | 0.04 | 3.3x | 243 | 61% |
| ADX / DI 방향성 period=26, threshold=20 |
3.0% | -65.7% | 0.25 | 0.05 | 3.1x | 167 | 26% |
| Supertrend period=13, mult=5 |
3.0% | -89.3% | 0.24 | 0.03 | 3.0x | 157 | 57% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-0.2% | -90.1% | 0.14 | -0.00 | 0.9x | 461 | 53% |
| MACD fast=18, slow=39, signal=19 |
-2.4% | -95.7% | 0.08 | -0.02 | 0.4x | 418 | 52% |
| Buy and hold | 4.4% | -92.7% | 0.32 | 0.05 | 5.1x | 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 16-day average price crosses above the 197-day average
- Sell — Sell (to cash) when the 16-day average falls below the 197-day average