Trend-Following Backtester · Guide · backtest 한국어
equity · GB
XPS Pensions Group Plc backtest
10 trend-following strategies were compared on the full daily history of XPS Pensions Group Plc. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.4%, drawdown -51.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.8%, MDD -44.9%, Sharpe 0.31, 54% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=55, slow=218 |
4.8% | -44.9% | 0.31 | 0.11 | 1.6x | 10 | 54% |
| 볼린저 밴드 돌파 n=42, k=3.3 |
2.0% | -17.4% | 0.22 | 0.12 | 1.2x | 16 | 14% |
| MACD fast=22, slow=60, signal=22 |
1.8% | -60.4% | 0.19 | 0.03 | 1.2x | 79 | 52% |
| Supertrend period=12, mult=4.8 |
-0.3% | -64.6% | 0.15 | -0.00 | 1.0x | 14 | 62% |
| ADX / DI 방향성 period=35, threshold=29 |
0.6% | -14.1% | 0.11 | 0.04 | 1.1x | 8 | 6% |
| Donchian 채널 돌파 entryN=16, exitN=49 |
-2.8% | -69.2% | 0.09 | -0.04 | 0.8x | 31 | 80% |
| ROC 모멘텀 n=121, threshold=0.02 |
-0.8% | -67.2% | 0.09 | -0.01 | 0.9x | 86 | 50% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=20, mult=3 |
-1.0% | -33.0% | -0.02 | -0.03 | 0.9x | 16 | 18% |
| EMA 크로스오버 fast=15, slow=74 |
-6.3% | -76.0% | -0.07 | -0.08 | 0.5x | 45 | 55% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-5.5% | -51.1% | -0.11 | -0.11 | 0.6x | 265 | 53% |
| Buy and hold | 8.4% | -51.0% | 0.41 | 0.16 | 2.1x | 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 55-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 55-day average falls below the 218-day average