Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Georgia Capital Plc backtest
10 trend-following strategies were compared on the full daily history of Georgia Capital 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 16.2%, MDD -27.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 16.7%, drawdown -72.6%).
Sharpe leader (same as main): Supertrend — CAGR 27.5%, MDD -34.5%, Sharpe 1.14, 63% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.8%p higher than buy and hold, while drawdown improves by 38.2%p (CAGR 16.2%, MDD -27.4%, exposure 47%).
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=11, mult=3.6 |
27.5% | -34.5% | 1.14 | 0.80 | 7.3x | 25 | 63% |
| Donchian 채널 돌파 entryN=55, exitN=48 |
26.2% | -30.9% | 1.12 | 0.85 | 6.7x | 11 | 55% |
| SMA 크로스오버 fast=75, slow=172 |
24.3% | -39.7% | 1.04 | 0.61 | 5.9x | 9 | 58% |
| ROC 모멘텀 n=138, threshold=-0.03 |
22.5% | -31.6% | 0.94 | 0.71 | 5.3x | 41 | 66% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=22, mult=0.7 |
19.7% | -37.1% | 0.92 | 0.53 | 4.4x | 58 | 57% |
| EMA 크로스오버 fast=14, slow=154 |
19.9% | -42.5% | 0.89 | 0.47 | 4.4x | 15 | 60% |
| 볼린저 밴드 돌파 n=75, k=1.7 |
16.2% | -27.4% | 0.83 | 0.59 | 3.4x | 22 | 47% |
| ADX / DI 방향성 period=25, threshold=24 |
11.7% | -14.7% | 0.79 | 0.79 | 2.5x | 24 | 26% |
| Parabolic SAR step=0.01, maxStep=0.32 |
12.4% | -35.8% | 0.63 | 0.35 | 2.6x | 106 | 55% |
| MACD fast=7, slow=39, signal=10 |
10.8% | -32.7% | 0.57 | 0.33 | 2.3x | 160 | 49% |
| Buy and hold | 16.7% | -72.6% | 0.61 | 0.23 | 3.5x | 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) — 11-day volatility, 3.6× band
- Sell — Sell when price drops below the trend line (flips down)