Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Bodycote plc backtest
10 trend-following strategies were compared on the full daily history of Bodycote plc. 2 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 6.2%, MDD -30.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.8%, drawdown -87.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.2%, MDD -30.3%, Sharpe 0.68, 14% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 7.2%, MDD -67.4%, exposure 47%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 57.2%p (CAGR 6.2%, MDD -30.3%, 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=14, atrPeriod=15, mult=4 |
6.2% | -30.3% | 0.68 | 0.21 | 10.1x | 103 | 14% |
| ADX / DI 방향성 period=10, threshold=49 |
4.7% | -26.8% | 0.61 | 0.18 | 5.8x | 133 | 14% |
| 볼린저 밴드 돌파 n=59, k=1.1 |
7.2% | -67.4% | 0.44 | 0.11 | 14.2x | 201 | 47% |
| Donchian 채널 돌파 entryN=26, exitN=52 |
6.9% | -81.3% | 0.38 | 0.08 | 12.7x | 129 | 70% |
| Supertrend period=10, mult=2.9 |
6.2% | -60.3% | 0.37 | 0.10 | 9.9x | 419 | 55% |
| EMA 크로스오버 fast=42, slow=94 |
5.5% | -63.5% | 0.35 | 0.09 | 7.8x | 79 | 61% |
| ROC 모멘텀 n=43, threshold=-0.03 |
5.3% | -62.8% | 0.33 | 0.08 | 7.3x | 487 | 65% |
| SMA 크로스오버 fast=14, slow=160 |
5.2% | -65.9% | 0.33 | 0.08 | 6.9x | 95 | 61% |
| Parabolic SAR step=0.045, maxStep=0.14 |
3.5% | -91.4% | 0.26 | 0.04 | 3.7x | 925 | 53% |
| MACD fast=18, slow=52, signal=11 |
2.6% | -79.0% | 0.23 | 0.03 | 2.7x | 475 | 50% |
| Buy and hold | 6.8% | -87.5% | 0.36 | 0.08 | 12.1x | 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 14-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average