Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Computacenter Plc backtest
10 trend-following strategies were compared on the full daily history of Computacenter Plc. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.6%, MDD -49.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.7%, drawdown -96.3%).
Sharpe leader (same as main): Supertrend — CAGR 9.8%, MDD -71.2%, Sharpe 0.46, 56% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 25.1%p (CAGR 6.6%, MDD -49.8%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=14, mult=2.5 |
9.8% | -71.2% | 0.46 | 0.14 | 14.2x | 243 | 56% |
| Donchian 채널 돌파 entryN=78, exitN=51 |
8.5% | -52.0% | 0.44 | 0.16 | 10.1x | 53 | 53% |
| 볼린저 밴드 돌파 n=64, k=2.4 |
6.6% | -49.8% | 0.42 | 0.13 | 6.0x | 71 | 30% |
| ADX / DI 방향성 period=26, threshold=25 |
3.8% | -27.3% | 0.37 | 0.14 | 2.9x | 49 | 9% |
| EMA 크로스오버 fast=14, slow=65 |
6.6% | -78.6% | 0.37 | 0.08 | 6.0x | 119 | 54% |
| SMA 크로스오버 fast=36, slow=82 |
6.3% | -60.5% | 0.36 | 0.10 | 5.7x | 93 | 55% |
| ROC 모멘텀 n=73, threshold=-0.04 |
6.5% | -62.9% | 0.36 | 0.10 | 5.9x | 259 | 63% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=18, mult=1.9 |
5.7% | -55.6% | 0.36 | 0.10 | 4.8x | 137 | 37% |
| MACD fast=18, slow=27, signal=17 |
0.2% | -87.6% | 0.16 | 0.00 | 1.1x | 335 | 50% |
| Parabolic SAR step=0.035, maxStep=0.24 |
-5.2% | -96.0% | -0.04 | -0.05 | 0.2x | 839 | 52% |
| Buy and hold | 5.7% | -96.3% | 0.34 | 0.06 | 4.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 14-day volatility, 2.5× band
- Sell — Sell when price drops below the trend line (flips down)