Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Berkeley Group Holdings plc backtest
10 trend-following strategies were compared on the full daily history of Berkeley Group Holdings plc. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.3%, MDD -34.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.8%, drawdown -68.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.3%, MDD -34.7%, Sharpe 0.78, 14% exposure.
CAGR reference leader: Supertrend — CAGR 10.9%, MDD -56.4%, exposure 54%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 33.7%p (CAGR 6.3%, MDD -34.7%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=11, mult=3.4 |
6.3% | -34.7% | 0.78 | 0.18 | 10.1x | 148 | 14% |
| Supertrend period=19, mult=2.3 |
10.9% | -56.4% | 0.60 | 0.19 | 52.3x | 502 | 54% |
| Donchian 채널 돌파 entryN=12, exitN=25 |
9.8% | -64.3% | 0.53 | 0.15 | 35.2x | 241 | 67% |
| ADX / DI 방향성 period=34, threshold=17 |
6.3% | -40.1% | 0.53 | 0.16 | 10.2x | 180 | 31% |
| Parabolic SAR step=0.005, maxStep=0.06 |
8.2% | -69.6% | 0.47 | 0.12 | 20.1x | 275 | 54% |
| 볼린저 밴드 돌파 n=24, k=2.8 |
3.7% | -64.9% | 0.41 | 0.06 | 3.9x | 136 | 18% |
| SMA 크로스오버 fast=55, slow=216 |
5.7% | -54.4% | 0.36 | 0.10 | 8.2x | 50 | 61% |
| ROC 모멘텀 n=113, threshold=-0.1 |
5.2% | -71.2% | 0.33 | 0.07 | 7.0x | 210 | 76% |
| MACD fast=8, slow=65, signal=19 |
4.2% | -80.2% | 0.30 | 0.05 | 4.8x | 541 | 50% |
| EMA 크로스오버 fast=48, slow=174 |
3.1% | -71.3% | 0.25 | 0.04 | 3.1x | 68 | 59% |
| Buy and hold | 6.8% | -68.4% | 0.37 | 0.10 | 12.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 13-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average