Trend-Following Backtester · Guide · backtest 한국어
equity · GB
St. James's Place Plc backtest
10 trend-following strategies were compared on the full daily history of St. James's Place Plc. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.0%, MDD -56.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.9%, drawdown -84.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -63.7%, Sharpe 0.50, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 20.5%p (CAGR 9.0%, MDD -56.1%, exposure 61%).
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=33, slow=162 |
9.4% | -63.7% | 0.50 | 0.15 | 25.2x | 62 | 61% |
| EMA 크로스오버 fast=34, slow=85 |
9.0% | -56.1% | 0.49 | 0.16 | 22.1x | 84 | 61% |
| Donchian 채널 돌파 entryN=82, exitN=34 |
6.5% | -49.2% | 0.43 | 0.13 | 9.5x | 86 | 38% |
| 볼린저 밴드 돌파 n=25, k=3.1 |
3.7% | -38.6% | 0.41 | 0.10 | 3.7x | 70 | 11% |
| ROC 모멘텀 n=139, threshold=0.08 |
6.3% | -49.8% | 0.40 | 0.13 | 8.8x | 292 | 45% |
| Supertrend period=30, mult=4.4 |
4.9% | -72.9% | 0.32 | 0.07 | 5.6x | 186 | 58% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=14, mult=2.6 |
2.9% | -52.8% | 0.25 | 0.05 | 2.8x | 168 | 36% |
| ADX / DI 방향성 period=29, threshold=25 |
1.5% | -45.1% | 0.18 | 0.03 | 1.7x | 86 | 15% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-1.1% | -96.0% | 0.08 | -0.01 | 0.7x | 871 | 53% |
| MACD fast=9, slow=27, signal=6 |
-3.3% | -97.1% | -0.00 | -0.03 | 0.3x | 868 | 49% |
| Buy and hold | 7.9% | -84.2% | 0.39 | 0.09 | 15.2x | 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 33-day average price crosses above the 162-day average
- Sell — Sell (to cash) when the 33-day average falls below the 162-day average