Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Compass Group PLC backtest
10 trend-following strategies were compared on the full daily history of Compass Group PLC. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.7%, MDD -44.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.7%, drawdown -76.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.7%, MDD -44.2%, Sharpe 0.35, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 32.3%p (CAGR 5.7%, MDD -44.2%, exposure 59%).
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=50, slow=195 |
5.7% | -44.2% | 0.35 | 0.13 | 4.4x | 35 | 59% |
| EMA 크로스오버 fast=54, slow=169 |
4.2% | -54.7% | 0.29 | 0.08 | 3.0x | 39 | 64% |
| Donchian 채널 돌파 entryN=96, exitN=76 |
4.1% | -47.7% | 0.29 | 0.09 | 2.9x | 37 | 52% |
| ROC 모멘텀 n=189, threshold=-0.09 |
4.2% | -52.9% | 0.28 | 0.08 | 3.0x | 129 | 76% |
| 볼린저 밴드 돌파 n=50, k=3.5 |
0.5% | -10.8% | 0.15 | 0.05 | 1.1x | 10 | 4% |
| Supertrend period=16, mult=5 |
-0.1% | -60.4% | 0.10 | -0.00 | 1.0x | 75 | 59% |
| ADX / DI 방향성 period=23, threshold=34 |
-0.2% | -13.9% | -0.05 | -0.01 | 0.9x | 16 | 2% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=13, mult=3.7 |
-0.4% | -11.2% | -0.15 | -0.03 | 0.9x | 6 | 1% |
| MACD fast=23, slow=46, signal=18 |
-8.5% | -92.9% | -0.34 | -0.09 | 0.1x | 320 | 50% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-13.8% | -98.2% | -0.57 | -0.14 | 0.0x | 513 | 55% |
| Buy and hold | 4.7% | -76.6% | 0.30 | 0.06 | 3.4x | 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 50-day average price crosses above the 195-day average
- Sell — Sell (to cash) when the 50-day average falls below the 195-day average