Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Severn Trent Plc backtest
10 trend-following strategies were compared on the full daily history of Severn Trent Plc. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.8%, drawdown -58.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.4%, MDD -58.9%, Sharpe 0.33, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.11 |
5.4% | -58.9% | 0.33 | 0.09 | 6.9x | 9 | 100% |
| SMA 크로스오버 fast=77, slow=191 |
2.2% | -43.6% | 0.21 | 0.05 | 2.2x | 61 | 64% |
| Donchian 채널 돌파 entryN=27, exitN=99 |
1.8% | -58.8% | 0.19 | 0.03 | 1.9x | 65 | 81% |
| EMA 크로스오버 fast=49, slow=194 |
1.4% | -52.6% | 0.17 | 0.03 | 1.6x | 57 | 65% |
| ADX / DI 방향성 period=49, threshold=30 |
0.1% | -8.7% | 0.08 | 0.01 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
-1.3% | -49.5% | -0.12 | -0.03 | 0.6x | 28 | 7% |
| Supertrend period=7, mult=5 |
-3.9% | -80.4% | -0.13 | -0.05 | 0.2x | 160 | 55% |
| Parabolic SAR step=0.005, maxStep=0.44 |
-6.2% | -91.7% | -0.26 | -0.07 | 0.1x | 335 | 54% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=29, mult=3.9 |
-1.8% | -48.7% | -0.31 | -0.04 | 0.5x | 54 | 4% |
| MACD fast=17, slow=25, signal=16 |
-8.0% | -96.0% | -0.39 | -0.08 | 0.0x | 563 | 51% |
| Buy and hold | 5.8% | -58.9% | 0.35 | 0.10 | 7.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -11%
- Sell — Sell when the 1-day return drops to -11% or below