Trend-Following Backtester · Guide · backtest 한국어
equity · GB
THG Plc backtest
10 trend-following strategies were compared on the full daily history of THG Plc. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.5%, MDD -45.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -40.3%, drawdown -97.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.5%, MDD -51.6%, Sharpe 0.38, 27% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 47.9%p higher than buy and hold, while drawdown improves by 45.5%p (CAGR 1.5%, MDD -45.1%, exposure 22%).
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=53, slow=127 |
7.5% | -51.6% | 0.38 | 0.15 | 1.5x | 8 | 27% |
| Supertrend period=11, mult=1.7 |
7.3% | -66.7% | 0.38 | 0.11 | 1.5x | 66 | 36% |
| Parabolic SAR step=0.015, maxStep=0.1 |
4.2% | -56.6% | 0.32 | 0.07 | 1.3x | 93 | 38% |
| 볼린저 밴드 돌파 n=13, k=2.1 |
2.8% | -53.8% | 0.25 | 0.05 | 1.2x | 54 | 20% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=17, mult=1.2 |
1.5% | -45.1% | 0.24 | 0.03 | 1.1x | 42 | 22% |
| ROC 모멘텀 n=121, threshold=0.09 |
-0.5% | -49.9% | 0.15 | -0.01 | 1.0x | 34 | 19% |
| ADX / DI 방향성 period=26, threshold=13 |
-7.4% | -62.7% | 0.01 | -0.12 | 0.6x | 54 | 32% |
| MACD fast=10, slow=40, signal=17 |
-13.8% | -75.3% | -0.01 | -0.18 | 0.4x | 87 | 51% |
| Donchian 채널 돌파 entryN=118, exitN=49 |
-4.9% | -51.6% | -0.05 | -0.09 | 0.7x | 4 | 13% |
| EMA 크로스오버 fast=55, slow=100 |
-8.3% | -61.7% | -0.09 | -0.13 | 0.6x | 10 | 19% |
| Buy and hold | -40.3% | -97.1% | -0.36 | -0.42 | 0.0x | 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 53-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 53-day average falls below the 127-day average