Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Avon Technologies PLC backtest
10 trend-following strategies were compared on the full daily history of Avon Technologies PLC. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.0%, MDD -20.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.7%, drawdown -96.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.2%, MDD -37.9%, Sharpe 0.71, 19% exposure.
CAGR reference leader: Supertrend — CAGR 12.7%, MDD -59.0%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 58.8%p (CAGR 4.0%, MDD -20.8%, exposure 7%).
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=14, k=2.6 |
10.2% | -37.9% | 0.71 | 0.27 | 40.7x | 218 | 19% |
| Keltner 채널 돌파 emaPeriod=5, atrPeriod=11, mult=2.6 |
4.0% | -20.8% | 0.67 | 0.19 | 4.5x | 100 | 7% |
| Supertrend period=22, mult=4.1 |
12.7% | -59.0% | 0.62 | 0.21 | 94.7x | 203 | 53% |
| SMA 크로스오버 fast=57, slow=201 |
10.5% | -56.0% | 0.57 | 0.19 | 45.6x | 44 | 56% |
| Donchian 채널 돌파 entryN=141, exitN=24 |
7.8% | -36.3% | 0.57 | 0.21 | 17.4x | 68 | 26% |
| ROC 모멘텀 n=174, threshold=0.11 |
9.1% | -49.8% | 0.55 | 0.18 | 28.1x | 170 | 43% |
| EMA 크로스오버 fast=43, slow=118 |
9.2% | -57.2% | 0.51 | 0.16 | 28.3x | 61 | 56% |
| Parabolic SAR step=0.045, maxStep=0.18 |
9.5% | -87.0% | 0.49 | 0.11 | 32.4x | 911 | 49% |
| MACD fast=18, slow=57, signal=19 |
7.8% | -83.2% | 0.42 | 0.09 | 17.9x | 334 | 48% |
| ADX / DI 방향성 period=33, threshold=11 |
6.4% | -61.1% | 0.39 | 0.10 | 10.5x | 348 | 48% |
| Buy and hold | 2.7% | -96.7% | 0.25 | 0.03 | 2.8x | 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 14-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 14-day middle average