Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Ceres Power Holdings plc backtest
10 trend-following strategies were compared on the full daily history of Ceres Power Holdings plc. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.2%, MDD -49.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.4%, drawdown -99.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.8%, MDD -65.2%, Sharpe 0.72, 24% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 28.2%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 8.2%, MDD -49.6%, exposure 15%).
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=33, k=2.5 |
22.8% | -65.2% | 0.72 | 0.35 | 87.4x | 82 | 24% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=20, mult=2 |
15.5% | -74.9% | 0.56 | 0.21 | 23.0x | 98 | 28% |
| Parabolic SAR step=0.01, maxStep=0.44 |
16.7% | -85.2% | 0.54 | 0.20 | 29.0x | 252 | 50% |
| ADX / DI 방향성 period=19, threshold=13 |
14.8% | -88.1% | 0.52 | 0.17 | 20.0x | 292 | 45% |
| MACD fast=10, slow=21, signal=18 |
15.0% | -95.9% | 0.51 | 0.16 | 21.1x | 337 | 51% |
| Supertrend period=22, mult=2.5 |
11.7% | -91.6% | 0.46 | 0.13 | 11.2x | 159 | 46% |
| ROC 모멘텀 n=131, threshold=0.1 |
10.4% | -75.7% | 0.44 | 0.14 | 8.6x | 131 | 39% |
| Donchian 채널 돌파 entryN=104, exitN=9 |
8.2% | -49.6% | 0.43 | 0.17 | 5.5x | 52 | 15% |
| EMA 크로스오버 fast=26, slow=86 |
7.0% | -90.9% | 0.41 | 0.08 | 4.4x | 54 | 47% |
| SMA 크로스오버 fast=12, slow=135 |
6.0% | -92.4% | 0.39 | 0.07 | 3.6x | 68 | 46% |
| Buy and hold | -5.4% | -99.7% | 0.32 | -0.05 | 0.3x | 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 33-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 33-day middle average