Trend-Following Backtester · Guide · backtest 한국어
equity · GB
British Land Company PLC backtest
10 trend-following strategies were compared on the full daily history of British Land Company PLC. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.1%, MDD -20.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.4%, drawdown -79.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.3%, MDD -60.3%, Sharpe 0.29, 41% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.6%, MDD -72.9%, exposure 57%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 19.3%p (CAGR 2.1%, MDD -20.6%, exposure 10%).
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=118, exitN=56 |
3.3% | -60.3% | 0.29 | 0.05 | 3.4x | 51 | 41% |
| ADX / DI 방향성 period=50, threshold=19 |
2.1% | -20.6% | 0.29 | 0.10 | 2.2x | 18 | 10% |
| SMA 크로스오버 fast=46, slow=129 |
3.6% | -72.9% | 0.28 | 0.05 | 3.8x | 71 | 57% |
| EMA 크로스오버 fast=49, slow=89 |
2.6% | -56.1% | 0.23 | 0.05 | 2.7x | 77 | 56% |
| 볼린저 밴드 돌파 n=32, k=3.3 |
1.1% | -23.1% | 0.19 | 0.05 | 1.5x | 42 | 7% |
| Supertrend period=14, mult=5 |
1.1% | -79.8% | 0.15 | 0.01 | 1.5x | 147 | 54% |
| ROC 모멘텀 n=122, threshold=0.01 |
0.8% | -68.9% | 0.13 | 0.01 | 1.4x | 337 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=2.2 |
-1.4% | -77.5% | -0.02 | -0.02 | 0.6x | 189 | 37% |
| MACD fast=19, slow=39, signal=17 |
-3.8% | -91.6% | -0.09 | -0.04 | 0.2x | 441 | 49% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-5.6% | -96.5% | -0.18 | -0.06 | 0.1x | 639 | 51% |
| Buy and hold | 1.4% | -79.5% | 0.19 | 0.02 | 1.7x | 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 118 days
- Sell — Sell when price breaks below the lowest low of the last 56 days