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%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.8%, 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 2.7%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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=2.7 |
12.5% | -32.5% | 0.78 | 0.38 | 89.2x | 358 | 58% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=14, mult=3.5 |
4.7% | -20.3% | 0.77 | 0.23 | 5.8x | 132 | 13% |
| Donchian 채널 돌파 entryN=5, exitN=46 |
10.4% | -65.0% | 0.57 | 0.16 | 44.1x | 227 | 87% |
| ADX / DI 방향성 period=18, threshold=29 |
4.7% | -30.5% | 0.53 | 0.15 | 5.8x | 194 | 27% |
| ROC 모멘텀 n=20, threshold=-0.09 |
9.1% | -63.0% | 0.51 | 0.14 | 27.8x | 233 | 92% |
| 볼린저 밴드 돌파 n=56, k=1.2 |
5.3% | -47.9% | 0.42 | 0.11 | 7.2x | 213 | 50% |
| MACD fast=13, slow=57, signal=12 |
5.4% | -46.0% | 0.40 | 0.12 | 7.3x | 484 | 50% |
| Parabolic SAR step=0.02, maxStep=0.22 |
5.1% | -84.2% | 0.38 | 0.06 | 6.6x | 680 | 54% |
| SMA 크로스오버 fast=11, slow=55 |
5.1% | -54.1% | 0.38 | 0.09 | 6.6x | 207 | 61% |
| EMA 크로스오버 fast=51, slow=203 |
5.3% | -67.3% | 0.38 | 0.08 | 7.2x | 49 | 68% |
| Buy and hold | 9.8% | -68.2% | 0.51 | 0.14 | 34.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 2.7× band
- Sell — Sell when price drops below the trend line (flips down)