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 5.8%, MDD -49.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.0%, drawdown -96.3%).
Sharpe leader (same as main): Supertrend — CAGR 9.0%, MDD -71.2%, Sharpe 0.44, 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 5.8%, 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 |
9.0% | -71.2% | 0.44 | 0.13 | 11.5x | 243 | 56% |
| Donchian 채널 돌파 entryN=78, exitN=51 |
7.8% | -52.0% | 0.41 | 0.15 | 8.2x | 53 | 52% |
| 볼린저 밴드 돌파 n=64, k=2.4 |
5.8% | -49.8% | 0.38 | 0.12 | 4.9x | 71 | 30% |
| EMA 크로스오버 fast=14, slow=65 |
5.8% | -78.6% | 0.34 | 0.07 | 4.9x | 119 | 54% |
| ROC 모멘텀 n=73, threshold=-0.04 |
5.7% | -62.9% | 0.33 | 0.09 | 4.8x | 259 | 63% |
| SMA 크로스오버 fast=36, slow=82 |
5.6% | -60.5% | 0.33 | 0.09 | 4.6x | 93 | 55% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=18, mult=1.9 |
5.0% | -55.6% | 0.32 | 0.09 | 3.9x | 137 | 37% |
| ADX / DI 방향성 period=26, threshold=25 |
3.1% | -27.3% | 0.31 | 0.11 | 2.3x | 49 | 9% |
| MACD fast=18, slow=27, signal=17 |
-0.2% | -87.6% | 0.14 | -0.00 | 0.9x | 333 | 50% |
| Parabolic SAR step=0.035, maxStep=0.24 |
-5.7% | -96.0% | -0.06 | -0.06 | 0.2x | 837 | 52% |
| Buy and hold | 5.0% | -96.3% | 0.32 | 0.05 | 3.9x | 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)