Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Serco Group plc backtest
10 trend-following strategies were compared on the full daily history of Serco Group plc. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.3%, MDD -45.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.1%, drawdown -86.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.7%, MDD -9.5%, Sharpe 1.26, 15% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.3%, MDD -45.5%, exposure 46%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.4%p lower than buy and hold, while drawdown improves by 76.6%p (CAGR 12.3%, MDD -45.5%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=49, threshold=39 |
6.7% | -9.5% | 1.26 | 0.71 | 11.8x | 10 | 15% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=12, mult=4 |
7.5% | -46.6% | 0.91 | 0.16 | 15.6x | 92 | 18% |
| Donchian 채널 돌파 entryN=91, exitN=43 |
12.3% | -45.5% | 0.79 | 0.27 | 83.6x | 66 | 46% |
| EMA 크로스오버 fast=45, slow=165 |
11.5% | -53.3% | 0.64 | 0.22 | 62.9x | 48 | 64% |
| SMA 크로스오버 fast=11, slow=215 |
10.7% | -51.1% | 0.61 | 0.21 | 47.6x | 76 | 63% |
| ROC 모멘텀 n=145, threshold=0.07 |
8.0% | -65.7% | 0.52 | 0.12 | 18.6x | 246 | 50% |
| 볼린저 밴드 돌파 n=51, k=1.6 |
7.4% | -74.6% | 0.50 | 0.10 | 14.9x | 176 | 46% |
| Supertrend period=20, mult=4.4 |
6.0% | -89.7% | 0.39 | 0.07 | 9.1x | 220 | 58% |
| Parabolic SAR step=0.015, maxStep=0.36 |
3.3% | -95.0% | 0.26 | 0.04 | 3.5x | 557 | 55% |
| MACD fast=15, slow=59, signal=17 |
2.4% | -83.9% | 0.22 | 0.03 | 2.4x | 407 | 49% |
| Buy and hold | 10.1% | -86.1% | 0.47 | 0.12 | 38.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 49-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)