Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Auction Technology Group PLC backtest
10 trend-following strategies were compared on the full daily history of Auction Technology Group PLC. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.7%, MDD -25.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -10.0%, drawdown -84.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.7%, MDD -25.1%, Sharpe 0.45, 16% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.3%, MDD -51.2%, exposure 35%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.6%p higher than buy and hold, while drawdown improves by 58.9%p (CAGR 5.7%, MDD -25.1%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=61, k=3.3 |
5.7% | -25.1% | 0.45 | 0.22 | 1.3x | 5 | 16% |
| SMA 크로스오버 fast=51, slow=87 |
8.3% | -51.2% | 0.45 | 0.16 | 1.5x | 13 | 35% |
| ADX / DI 방향성 period=29, threshold=18 |
6.5% | -34.6% | 0.40 | 0.19 | 1.4x | 21 | 27% |
| ROC 모멘텀 n=94, threshold=0.13 |
3.7% | -42.4% | 0.30 | 0.09 | 1.2x | 23 | 22% |
| Donchian 채널 돌파 entryN=39, exitN=43 |
3.6% | -60.2% | 0.27 | 0.06 | 1.2x | 11 | 50% |
| EMA 크로스오버 fast=40, slow=41 |
-1.1% | -68.9% | 0.09 | -0.02 | 0.9x | 21 | 42% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=20, mult=2.2 |
-1.0% | -57.1% | 0.06 | -0.02 | 0.9x | 15 | 24% |
| Supertrend period=8, mult=2.5 |
-4.8% | -69.9% | -0.00 | -0.07 | 0.8x | 33 | 45% |
| MACD fast=13, slow=22, signal=14 |
-12.9% | -72.8% | -0.21 | -0.18 | 0.5x | 81 | 53% |
| Parabolic SAR step=0.05, maxStep=0.1 |
-17.1% | -80.5% | -0.42 | -0.21 | 0.4x | 157 | 47% |
| Buy and hold | -10.0% | -84.0% | 0.01 | -0.12 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 61-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 61-day middle average