Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Tate & Lyle PLC backtest
10 trend-following strategies were compared on the full daily history of Tate & Lyle PLC. 6 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -26.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.5%, drawdown -76.8%).
Sharpe leader (same as main): MACD — CAGR -0.0%, MDD -74.0%, Sharpe 0.15, 52% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 0.8%, MDD -56.2%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 2.8%p (CAGR 0.3%, MDD -26.8%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=15, slow=32, signal=24 |
-0.0% | -74.0% | 0.15 | -0.00 | 1.0x | 396 | 52% |
| EMA 크로스오버 fast=83, slow=262 |
0.8% | -56.2% | 0.13 | 0.01 | 1.3x | 33 | 50% |
| Donchian 채널 돌파 entryN=10, exitN=31 |
-1.4% | -78.0% | 0.11 | -0.02 | 0.6x | 203 | 73% |
| ADX / DI 방향성 period=20, threshold=36 |
0.3% | -26.8% | 0.08 | 0.01 | 1.1x | 35 | 4% |
| 볼린저 밴드 돌파 n=22, k=3.1 |
0.2% | -41.6% | 0.07 | 0.00 | 1.1x | 62 | 7% |
| SMA 크로스오버 fast=15, slow=55 |
-2.0% | -74.5% | 0.06 | -0.03 | 0.5x | 213 | 53% |
| Supertrend period=9, mult=3.7 |
-3.2% | -87.6% | 0.00 | -0.04 | 0.3x | 243 | 49% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.7% | -85.6% | -0.01 | -0.04 | 0.2x | 331 | 51% |
| ROC 모멘텀 n=89, threshold=0.14 |
-0.9% | -64.0% | -0.03 | -0.01 | 0.7x | 229 | 19% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=18, mult=4 |
-3.1% | -74.7% | -0.07 | -0.04 | 0.3x | 85 | 18% |
| Buy and hold | -1.5% | -76.8% | 0.13 | -0.02 | 0.6x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (15/32) crosses above its 24-day signal line
- Sell — Sell when the MACD line crosses back below the signal line