Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Cranswick plc backtest
10 trend-following strategies were compared on the full daily history of Cranswick plc. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.3%, drawdown -51.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.2%, MDD -30.3%, Sharpe 0.91, 15% exposure.
CAGR reference leader: Supertrend — CAGR 10.4%, MDD -47.0%, exposure 60%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=19, mult=3.4 |
7.2% | -30.3% | 0.91 | 0.24 | 14.3x | 110 | 15% |
| Supertrend period=15, mult=3 |
10.4% | -47.0% | 0.62 | 0.22 | 42.7x | 301 | 60% |
| Donchian 채널 돌파 entryN=132, exitN=84 |
9.5% | -35.4% | 0.59 | 0.27 | 32.1x | 45 | 55% |
| EMA 크로스오버 fast=48, slow=265 |
9.9% | -40.6% | 0.58 | 0.25 | 37.0x | 35 | 70% |
| Parabolic SAR step=0.01, maxStep=0.36 |
8.7% | -81.0% | 0.55 | 0.11 | 24.1x | 428 | 54% |
| ROC 모멘텀 n=121, threshold=-0.11 |
10.3% | -53.2% | 0.54 | 0.19 | 41.7x | 139 | 87% |
| SMA 크로스오버 fast=19, slow=227 |
9.0% | -53.1% | 0.53 | 0.17 | 26.3x | 75 | 67% |
| ADX / DI 방향성 period=15, threshold=29 |
5.7% | -54.2% | 0.52 | 0.11 | 8.3x | 228 | 27% |
| 볼린저 밴드 돌파 n=23, k=2.8 |
4.4% | -50.7% | 0.49 | 0.09 | 5.1x | 146 | 19% |
| MACD fast=24, slow=56, signal=23 |
4.2% | -82.8% | 0.32 | 0.05 | 4.8x | 332 | 49% |
| Buy and hold | 13.3% | -51.5% | 0.61 | 0.26 | 116.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 12-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average