Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Cohort plc backtest
10 trend-following strategies were compared on the full daily history of Cohort plc. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 15.5%, MDD -38.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.2%, drawdown -73.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.3%, MDD -25.3%, Sharpe 0.77, 19% exposure.
CAGR reference leader: Supertrend — CAGR 15.5%, MDD -38.4%, exposure 64%.
Return/drawdown alternative: Supertrend — CAGR is 2.9%p lower than buy and hold, while drawdown improves by 48.1%p (CAGR 15.5%, MDD -38.4%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=30, k=3.4 |
8.3% | -25.3% | 0.77 | 0.33 | 5.1x | 48 | 19% |
| Supertrend period=14, mult=4.7 |
15.5% | -38.4% | 0.72 | 0.40 | 19.1x | 47 | 64% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=22, mult=3.4 |
7.8% | -20.0% | 0.65 | 0.39 | 4.6x | 38 | 27% |
| Parabolic SAR step=0.025, maxStep=0.24 |
11.5% | -44.1% | 0.59 | 0.26 | 9.2x | 424 | 51% |
| Donchian 채널 돌파 entryN=13, exitN=31 |
12.2% | -59.6% | 0.57 | 0.21 | 10.5x | 75 | 70% |
| ROC 모멘텀 n=42, threshold=-0.05 |
10.6% | -63.4% | 0.52 | 0.17 | 7.8x | 183 | 74% |
| MACD fast=10, slow=56, signal=22 |
8.2% | -62.5% | 0.45 | 0.13 | 5.0x | 202 | 48% |
| ADX / DI 방향성 period=12, threshold=30 |
5.4% | -31.1% | 0.43 | 0.17 | 2.9x | 156 | 23% |
| SMA 크로스오버 fast=26, slow=142 |
6.6% | -66.3% | 0.39 | 0.10 | 3.7x | 53 | 59% |
| EMA 크로스오버 fast=21, slow=75 |
6.1% | -62.8% | 0.38 | 0.10 | 3.3x | 65 | 59% |
| Buy and hold | 11.2% | -73.4% | 0.49 | 0.15 | 8.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 30-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 30-day middle average