Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Cerillion Plc backtest
10 trend-following strategies were compared on the full daily history of Cerillion Plc. 1 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 37.8%, MDD -31.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 27.5%, drawdown -49.2%).
Sharpe leader (same as main): Parabolic SAR — CAGR 37.8%, MDD -31.3%, Sharpe 1.38, 51% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 17.9%p (CAGR 37.8%, MDD -31.3%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.03, maxStep=0.28 |
37.8% | -31.3% | 1.38 | 1.21 | 27.8x | 224 | 51% |
| 볼린저 밴드 돌파 n=21, k=3.2 |
11.6% | -10.4% | 1.04 | 1.11 | 3.1x | 16 | 10% |
| ADX / DI 방향성 period=4, threshold=18 |
22.8% | -37.0% | 0.93 | 0.62 | 8.4x | 392 | 50% |
| MACD fast=4, slow=23, signal=15 |
18.4% | -30.9% | 0.85 | 0.60 | 5.8x | 221 | 48% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=13, mult=1.8 |
13.0% | -24.4% | 0.83 | 0.53 | 3.5x | 62 | 23% |
| Supertrend period=5, mult=3.1 |
19.0% | -46.1% | 0.78 | 0.41 | 6.1x | 62 | 58% |
| SMA 크로스오버 fast=89, slow=186 |
19.9% | -34.6% | 0.77 | 0.58 | 6.6x | 10 | 68% |
| EMA 크로스오버 fast=55, slow=262 |
18.7% | -46.4% | 0.72 | 0.40 | 5.9x | 10 | 73% |
| ROC 모멘텀 n=139, threshold=-0.04 |
15.1% | -50.4% | 0.62 | 0.30 | 4.3x | 66 | 77% |
| Donchian 채널 돌파 entryN=11, exitN=64 |
13.7% | -63.6% | 0.55 | 0.22 | 3.8x | 24 | 90% |
| Buy and hold | 27.5% | -49.2% | 0.84 | 0.56 | 12.4x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots