Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Victrex plc backtest
10 trend-following strategies were compared on the full daily history of Victrex plc. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.5%, MDD -22.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.2%, drawdown -84.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.5%, MDD -22.9%, Sharpe 0.53, 12% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.4%, MDD -44.6%, exposure 38%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 61.3%p (CAGR 4.5%, MDD -22.9%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=25 |
4.5% | -22.9% | 0.53 | 0.20 | 3.8x | 34 | 12% |
| Donchian 채널 돌파 entryN=129, exitN=58 |
6.4% | -44.6% | 0.46 | 0.14 | 6.7x | 33 | 38% |
| EMA 크로스오버 fast=44, slow=158 |
6.4% | -42.7% | 0.42 | 0.15 | 6.6x | 41 | 53% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
2.1% | -13.4% | 0.39 | 0.15 | 1.9x | 24 | 6% |
| SMA 크로스오버 fast=54, slow=184 |
5.8% | -45.6% | 0.38 | 0.13 | 5.6x | 43 | 54% |
| Supertrend period=26, mult=4.5 |
5.0% | -69.7% | 0.35 | 0.07 | 4.5x | 103 | 57% |
| ROC 모멘텀 n=152, threshold=0.14 |
3.9% | -65.0% | 0.33 | 0.06 | 3.2x | 175 | 33% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=22, mult=1.7 |
3.2% | -62.2% | 0.27 | 0.05 | 2.6x | 179 | 42% |
| Parabolic SAR step=0.03, maxStep=0.18 |
0.1% | -90.5% | 0.12 | 0.00 | 1.0x | 768 | 52% |
| MACD fast=8, slow=51, signal=8 |
-1.5% | -88.4% | 0.04 | -0.02 | 0.6x | 588 | 50% |
| Buy and hold | 4.2% | -84.2% | 0.29 | 0.05 | 3.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)