Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Burberry Group plc backtest
10 trend-following strategies were compared on the full daily history of Burberry Group plc. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.8%, MDD -59.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.7%, drawdown -78.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.8%, MDD -59.5%, Sharpe 0.49, 81% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 18.9%p (CAGR 10.8%, MDD -59.5%, exposure 81%).
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=19, exitN=71 |
10.8% | -59.5% | 0.49 | 0.18 | 11.9x | 49 | 81% |
| ADX / DI 방향성 period=37, threshold=39 |
1.4% | -13.9% | 0.37 | 0.10 | 1.4x | 4 | 2% |
| SMA 크로스오버 fast=39, slow=115 |
6.0% | -64.4% | 0.36 | 0.09 | 4.1x | 56 | 58% |
| ROC 모멘텀 n=130, threshold=-0.08 |
6.0% | -60.1% | 0.35 | 0.10 | 4.0x | 142 | 73% |
| EMA 크로스오버 fast=29, slow=173 |
4.7% | -57.8% | 0.31 | 0.08 | 3.0x | 54 | 61% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=15, mult=3.3 |
3.2% | -50.5% | 0.26 | 0.06 | 2.1x | 64 | 28% |
| Parabolic SAR step=0.005, maxStep=0.24 |
1.5% | -58.7% | 0.19 | 0.03 | 1.4x | 192 | 53% |
| Supertrend period=24, mult=5 |
0.9% | -73.1% | 0.17 | 0.01 | 1.2x | 81 | 58% |
| 볼린저 밴드 돌파 n=58, k=1.4 |
1.2% | -46.9% | 0.16 | 0.03 | 1.3x | 128 | 44% |
| MACD fast=11, slow=18, signal=15 |
-0.6% | -74.6% | 0.10 | -0.01 | 0.9x | 432 | 51% |
| Buy and hold | 6.7% | -78.4% | 0.36 | 0.09 | 4.8x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 71 days