Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Craneware plc backtest
10 trend-following strategies were compared on the full daily history of Craneware plc. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 17.0%, MDD -18.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 11.8%, drawdown -69.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 17.0%, MDD -18.9%, Sharpe 1.18, 21% exposure.
CAGR reference leader: Parabolic SAR — CAGR 21.1%, MDD -60.9%, exposure 48%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 51.0%p (CAGR 17.0%, MDD -18.9%, exposure 21%).
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=13, k=2.7 |
17.0% | -18.9% | 1.18 | 0.90 | 19.5x | 110 | 21% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=17, mult=1.2 |
18.1% | -39.3% | 0.99 | 0.46 | 23.0x | 156 | 28% |
| Parabolic SAR step=0.03, maxStep=0.16 |
21.1% | -60.9% | 0.86 | 0.35 | 37.0x | 412 | 48% |
| MACD fast=6, slow=37, signal=8 |
19.4% | -55.0% | 0.80 | 0.35 | 28.5x | 347 | 46% |
| ADX / DI 방향성 period=38, threshold=26 |
5.6% | -13.3% | 0.63 | 0.42 | 2.8x | 34 | 15% |
| Donchian 채널 돌파 entryN=47, exitN=33 |
12.6% | -59.8% | 0.62 | 0.21 | 9.3x | 44 | 53% |
| EMA 크로스오버 fast=4, slow=27 |
13.2% | -67.1% | 0.62 | 0.20 | 10.4x | 194 | 53% |
| Supertrend period=29, mult=4.8 |
11.4% | -72.5% | 0.54 | 0.16 | 7.7x | 54 | 64% |
| SMA 크로스오버 fast=30, slow=212 |
10.4% | -66.5% | 0.53 | 0.16 | 6.5x | 24 | 65% |
| ROC 모멘텀 n=14, threshold=0.11 |
7.0% | -31.7% | 0.52 | 0.22 | 3.6x | 172 | 12% |
| Buy and hold | 11.8% | -69.9% | 0.49 | 0.17 | 8.2x | 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 13-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 13-day middle average