Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Spire Healthcare Group PLC backtest
10 trend-following strategies were compared on the full daily history of Spire Healthcare Group PLC. 8 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 5.6%, MDD -21.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.8%, drawdown -86.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.6%, MDD -21.8%, Sharpe 0.53, 12% exposure.
CAGR reference leader: MACD — CAGR 6.1%, MDD -50.8%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 65.1%p (CAGR 5.6%, MDD -21.8%, exposure 12%).
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=19, k=3 |
5.6% | -21.8% | 0.53 | 0.26 | 1.9x | 35 | 12% |
| MACD fast=19, slow=25, signal=15 |
6.1% | -50.8% | 0.35 | 0.12 | 2.0x | 145 | 50% |
| Donchian 채널 돌파 entryN=15, exitN=21 |
6.1% | -56.4% | 0.34 | 0.11 | 2.0x | 71 | 54% |
| ADX / DI 방향성 period=34, threshold=27 |
3.3% | -23.9% | 0.33 | 0.14 | 1.5x | 14 | 9% |
| SMA 크로스오버 fast=10, slow=31 |
4.8% | -64.6% | 0.30 | 0.07 | 1.8x | 115 | 53% |
| ROC 모멘텀 n=145, threshold=0.14 |
2.8% | -50.1% | 0.26 | 0.06 | 1.4x | 57 | 17% |
| Supertrend period=13, mult=2.6 |
2.7% | -56.2% | 0.23 | 0.05 | 1.4x | 81 | 56% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=26, mult=4 |
1.4% | -34.4% | 0.16 | 0.04 | 1.2x | 13 | 11% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-0.0% | -52.3% | 0.11 | -0.00 | 1.0x | 201 | 52% |
| EMA 크로스오버 fast=56, slow=150 |
-3.7% | -55.8% | -0.07 | -0.07 | 0.6x | 23 | 43% |
| Buy and hold | 0.8% | -86.9% | 0.22 | 0.01 | 1.1x | 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 19-day average (3× volatility)
- Sell — Sell when the close falls back to the 19-day middle average