Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Young & Co.'s Brewery, P.L.C. Class A backtest
10 trend-following strategies were compared on the full daily history of Young & Co.'s Brewery, P.L.C. Class A. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.8%, MDD -36.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.3%, drawdown -62.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.8%, MDD -36.7%, Sharpe 0.38, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 25.4%p (CAGR 4.8%, MDD -36.7%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=28, slow=201 |
4.8% | -36.7% | 0.38 | 0.13 | 6.1x | 55 | 58% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=28, mult=1.6 |
4.2% | -48.9% | 0.37 | 0.09 | 4.8x | 154 | 40% |
| ADX / DI 방향성 period=38, threshold=17 |
2.8% | -29.5% | 0.35 | 0.10 | 2.9x | 116 | 19% |
| SMA 크로스오버 fast=28, slow=106 |
4.3% | -50.0% | 0.35 | 0.09 | 4.9x | 99 | 54% |
| Donchian 채널 돌파 entryN=69, exitN=22 |
3.6% | -35.3% | 0.34 | 0.10 | 3.9x | 113 | 39% |
| Supertrend period=11, mult=4.8 |
4.1% | -50.3% | 0.33 | 0.08 | 4.6x | 133 | 54% |
| 볼린저 밴드 돌파 n=15, k=3 |
2.3% | -26.9% | 0.32 | 0.09 | 2.4x | 148 | 15% |
| MACD fast=33, slow=43, signal=18 |
3.7% | -55.3% | 0.30 | 0.07 | 4.0x | 292 | 49% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.5% | -59.2% | 0.30 | 0.06 | 3.8x | 274 | 50% |
| ROC 모멘텀 n=118, threshold=-0.02 |
1.0% | -81.9% | 0.14 | 0.01 | 1.5x | 283 | 61% |
| Buy and hold | 5.3% | -62.1% | 0.34 | 0.09 | 7.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 28-day EMA crosses above the 201-day EMA
- Sell — Sell when the 28-day EMA falls below the 201-day EMA