Trend-Following Backtester · Guide · backtest 한국어
equity · GB
CVS Group plc backtest
10 trend-following strategies were compared on the full daily history of CVS Group plc. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.5%, MDD -36.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 9.7%, drawdown -75.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.6%, MDD -58.3%, Sharpe 0.76, 85% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 16.8%p (CAGR 11.5%, MDD -36.5%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=11, exitN=57 |
19.6% | -58.3% | 0.76 | 0.34 | 29.1x | 41 | 85% |
| EMA 크로스오버 fast=7, slow=85 |
15.9% | -45.8% | 0.74 | 0.35 | 16.2x | 79 | 64% |
| ROC 모멘텀 n=112, threshold=0.07 |
13.7% | -51.8% | 0.71 | 0.26 | 11.3x | 120 | 53% |
| ADX / DI 방향성 period=49, threshold=17 |
11.5% | -36.5% | 0.69 | 0.32 | 7.8x | 42 | 37% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=9, mult=2.7 |
10.9% | -38.7% | 0.67 | 0.28 | 7.1x | 56 | 40% |
| Supertrend period=17, mult=4.3 |
14.0% | -53.1% | 0.66 | 0.26 | 11.9x | 53 | 64% |
| SMA 크로스오버 fast=47, slow=207 |
13.9% | -49.3% | 0.65 | 0.28 | 11.8x | 17 | 61% |
| Parabolic SAR step=0.01, maxStep=0.22 |
13.3% | -55.8% | 0.61 | 0.24 | 10.5x | 231 | 55% |
| 볼린저 밴드 돌파 n=33, k=1.5 |
9.5% | -41.7% | 0.54 | 0.23 | 5.6x | 148 | 45% |
| MACD fast=25, slow=32, signal=23 |
8.0% | -59.5% | 0.43 | 0.13 | 4.3x | 175 | 51% |
| Buy and hold | 9.7% | -75.0% | 0.44 | 0.13 | 5.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 11 days
- Sell — Sell when price breaks below the lowest low of the last 57 days