Trend-Following Backtester · Guide · backtest 한국어

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Alliance Witan PLC backtest

10 trend-following strategies were compared on the full daily history of Alliance Witan PLC. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.

Data 1970-01-01 ~ 2026-07-31daily bars 14,592 (56.6 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 8.1%, drawdown -66.2%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.3%, MDD -39.1%, Sharpe 0.41, 79% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 6.0%, MDD -70.6%, exposure 93%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=222, threshold=-0.04
5.3%-39.1%0.410.1419.0x20179%
Donchian 채널 돌파
entryN=8, exitN=104
6.0%-70.6%0.380.0927.6x16993%
EMA 크로스오버
fast=54, slow=208
4.4%-36.9%0.360.1211.5x6773%
Supertrend
period=11, mult=4.8
3.3%-69.1%0.300.056.4x26162%
Keltner 채널 돌파
emaPeriod=38, atrPeriod=23, mult=2.1
2.6%-46.2%0.260.064.3x29647%
SMA 크로스오버
fast=15, slow=215
2.7%-33.5%0.260.084.5x11769%
Parabolic SAR
step=0.01, maxStep=0.06
2.7%-57.1%0.250.054.4x48761%
MACD
fast=10, slow=54, signal=17
1.4%-61.3%0.160.022.2x70449%
ADX / DI 방향성
period=33, threshold=25
1.0%-51.2%0.140.021.7x11826%
볼린저 밴드 돌파
n=57, k=1.3
0.9%-54.2%0.130.021.6x28750%
Buy and hold8.1%-66.2%0.460.1280.8x1100%
1x 10x 1971 1978 1985 1992 1999 2006 2013 2020 Donchian 채널 돌파ROC 모멘텀Buy and hold
ROC 모멘텀 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -18% -35% -53% -71% 1971 1978 1985 1992 1999 2006 2013 2020 Buy and holdDonchian 채널 돌파ROC 모멘텀
ROC 모멘텀 maximum drawdown -39.1% (2006-05-09 → 2009-08-17), recovered after 3,878 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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