Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Tesco PLC backtest
10 trend-following strategies were compared on the full daily history of Tesco PLC. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -71.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.4%, MDD -42.4%, Sharpe 0.28, 51% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=113, exitN=69 |
3.4% | -42.4% | 0.28 | 0.08 | 3.6x | 46 | 51% |
| 볼린저 밴드 돌파 n=21, k=3.4 |
0.8% | -9.9% | 0.26 | 0.08 | 1.3x | 10 | 2% |
| SMA 크로스오버 fast=60, slow=188 |
1.6% | -75.6% | 0.18 | 0.02 | 1.8x | 59 | 61% |
| EMA 크로스오버 fast=51, slow=199 |
1.4% | -69.3% | 0.17 | 0.02 | 1.7x | 59 | 62% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=24, mult=3.9 |
0.1% | -35.7% | 0.06 | 0.00 | 1.0x | 100 | 20% |
| Supertrend period=21, mult=4.7 |
-1.3% | -80.2% | 0.01 | -0.02 | 0.6x | 199 | 56% |
| ROC 모멘텀 n=107, threshold=-0.04 |
-2.6% | -90.9% | -0.03 | -0.03 | 0.4x | 359 | 70% |
| ADX / DI 방향성 period=38, threshold=30 |
-0.1% | -9.8% | -0.06 | -0.01 | 1.0x | 4 | 1% |
| MACD fast=28, slow=40, signal=24 |
-4.0% | -85.1% | -0.15 | -0.05 | 0.2x | 385 | 50% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-6.6% | -95.3% | -0.29 | -0.07 | 0.1x | 345 | 54% |
| Buy and hold | 5.5% | -71.7% | 0.33 | 0.08 | 7.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 113 days
- Sell — Sell when price breaks below the lowest low of the last 69 days