Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Associated British Foods plc backtest
10 trend-following strategies were compared on the full daily history of Associated British Foods 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 6.8%, drawdown -65.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.5%, MDD -72.7%, Sharpe 0.31, 84% 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=5, exitN=49 |
4.5% | -72.7% | 0.31 | 0.06 | 5.3x | 211 | 84% |
| EMA 크로스오버 fast=42, slow=117 |
3.2% | -60.5% | 0.27 | 0.05 | 3.3x | 81 | 63% |
| 볼린저 밴드 돌파 n=64, k=2.3 |
2.4% | -28.9% | 0.25 | 0.08 | 2.5x | 111 | 33% |
| SMA 크로스오버 fast=16, slow=201 |
2.7% | -57.4% | 0.24 | 0.05 | 2.8x | 99 | 63% |
| Supertrend period=11, mult=4.8 |
2.1% | -46.1% | 0.21 | 0.05 | 2.2x | 219 | 56% |
| ROC 모멘텀 n=138, threshold=-0.03 |
1.9% | -66.4% | 0.19 | 0.03 | 2.0x | 269 | 68% |
| ADX / DI 방향성 period=36, threshold=38 |
0.1% | -2.6% | 0.11 | 0.03 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=22, mult=2.1 |
0.1% | -61.5% | 0.07 | 0.00 | 1.0x | 225 | 42% |
| MACD fast=14, slow=48, signal=14 |
-0.7% | -59.8% | 0.05 | -0.01 | 0.8x | 511 | 49% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-2.5% | -81.8% | -0.06 | -0.03 | 0.4x | 645 | 53% |
| Buy and hold | 6.8% | -65.6% | 0.39 | 0.10 | 12.4x | 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 5 days
- Sell — Sell when price breaks below the lowest low of the last 49 days