Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Clarkson PLC backtest
10 trend-following strategies were compared on the full daily history of Clarkson PLC. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.7%, MDD -52.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.5%, drawdown -83.1%).
Sharpe leader (same as main): Supertrend — CAGR 14.0%, MDD -52.6%, Sharpe 0.64, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 13.7%, MDD -52.3%, exposure 86%).
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=3.8 |
14.0% | -52.6% | 0.64 | 0.27 | 145.9x | 227 | 56% |
| Donchian 채널 돌파 entryN=8, exitN=79 |
13.7% | -52.3% | 0.57 | 0.26 | 135.8x | 145 | 86% |
| ADX / DI 방향성 period=17, threshold=8 |
9.4% | -56.1% | 0.48 | 0.17 | 31.3x | 567 | 55% |
| SMA 크로스오버 fast=16, slow=58 |
7.8% | -66.0% | 0.43 | 0.12 | 17.7x | 183 | 57% |
| Parabolic SAR step=0.01, maxStep=0.06 |
7.9% | -49.6% | 0.43 | 0.16 | 18.3x | 362 | 52% |
| 볼린저 밴드 돌파 n=20, k=1.9 |
6.5% | -57.7% | 0.40 | 0.11 | 10.9x | 369 | 36% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=11, mult=2 |
5.6% | -61.0% | 0.39 | 0.09 | 8.0x | 269 | 32% |
| ROC 모멘텀 n=25, threshold=-0.04 |
5.8% | -70.6% | 0.34 | 0.08 | 8.5x | 565 | 73% |
| MACD fast=16, slow=48, signal=18 |
5.3% | -60.7% | 0.33 | 0.09 | 7.2x | 431 | 49% |
| EMA 크로스오버 fast=24, slow=30 |
4.5% | -67.2% | 0.30 | 0.07 | 5.3x | 207 | 59% |
| Buy and hold | 9.5% | -83.1% | 0.43 | 0.11 | 32.1x | 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, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)