Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Admiral Group plc backtest
10 trend-following strategies were compared on the full daily history of Admiral Group 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 12.5%, drawdown -55.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.2%, MDD -46.4%, Sharpe 0.50, 85% 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=14, exitN=72 |
10.2% | -46.4% | 0.50 | 0.22 | 8.3x | 53 | 85% |
| ROC 모멘텀 n=121, threshold=-0.11 |
8.5% | -59.9% | 0.45 | 0.14 | 6.0x | 93 | 86% |
| EMA 크로스오버 fast=41, slow=100 |
7.5% | -39.4% | 0.43 | 0.19 | 4.9x | 43 | 67% |
| SMA 크로스오버 fast=22, slow=202 |
7.1% | -46.4% | 0.41 | 0.15 | 4.5x | 37 | 66% |
| ADX / DI 방향성 period=19, threshold=36 |
1.5% | -17.2% | 0.33 | 0.09 | 1.4x | 14 | 4% |
| 볼린저 밴드 돌파 n=56, k=1.6 |
3.1% | -50.6% | 0.26 | 0.06 | 1.9x | 119 | 46% |
| Supertrend period=19, mult=5 |
2.3% | -65.1% | 0.21 | 0.03 | 1.6x | 73 | 60% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=14, mult=3.8 |
0.0% | -64.6% | 0.06 | 0.00 | 1.0x | 59 | 27% |
| MACD fast=21, slow=23, signal=24 |
-1.3% | -70.5% | 0.05 | -0.02 | 0.8x | 255 | 52% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-2.5% | -84.0% | -0.02 | -0.03 | 0.6x | 195 | 56% |
| Buy and hold | 12.5% | -55.1% | 0.55 | 0.23 | 13.1x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 72 days