Trend-Following Backtester · Guide · backtest 한국어

equity · GB

Spirax Group plc. backtest

10 trend-following strategies were compared on the full daily history of Spirax Group plc.. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 12.5%, MDD -32.5%).

Data 1988-07-01 ~ 2026-07-31daily bars 9,766 (38.1 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 9.7%, drawdown -68.2%).

Sharpe leader (same as main): Supertrend — CAGR 12.5%, MDD -32.5%, Sharpe 0.78, 58% exposure.

Return/drawdown alternative: Supertrend — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 12.5%, MDD -32.5%, exposure 58%).

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
Supertrend
period=21, mult=2.7
12.5%-32.5%0.780.3888.6x35758%
Keltner 채널 돌파
emaPeriod=9, atrPeriod=14, mult=3.5
4.7%-20.3%0.770.235.8x13213%
Donchian 채널 돌파
entryN=5, exitN=46
10.4%-65.0%0.570.1643.1x22787%
ADX / DI 방향성
period=18, threshold=29
4.7%-30.5%0.530.155.8x19427%
ROC 모멘텀
n=20, threshold=-0.09
9.1%-63.0%0.510.1427.1x23392%
볼린저 밴드 돌파
n=56, k=1.2
5.3%-47.9%0.420.117.3x21250%
MACD
fast=13, slow=57, signal=12
5.3%-46.0%0.400.127.3x48350%
EMA 크로스오버
fast=51, slow=203
5.4%-67.3%0.380.087.3x4868%
Parabolic SAR
step=0.02, maxStep=0.22
5.0%-84.2%0.370.066.4x67954%
SMA 크로스오버
fast=11, slow=55
5.0%-54.1%0.370.096.4x20760%
Buy and hold9.7%-68.2%0.510.1434.1x1100%
1x 10x 100x 1989 1994 1999 2004 2009 2014 2019 2024 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -34% -51% -68% 1989 1994 1999 2004 2009 2014 2019 2024 Buy and holdSupertrend
Supertrend maximum drawdown -32.5% (2017-05-26 → 2019-01-25), recovered after 914 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

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

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