Trend-Following Backtester · Guide · backtest 한국어
equity · GB
GlobalData Plc backtest
10 trend-following strategies were compared on the full daily history of GlobalData 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 21.8%, MDD -33.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.1%, drawdown -96.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 26.9%, MDD -52.8%, Sharpe 0.78, 33% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 27.0%p higher than buy and hold, while drawdown improves by 43.5%p (CAGR 21.8%, MDD -33.7%, exposure 24%).
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=5, k=1.6 |
26.9% | -52.8% | 0.78 | 0.51 | 503.2x | 447 | 33% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=12, mult=0.5 |
21.3% | -61.1% | 0.72 | 0.35 | 152.7x | 189 | 41% |
| Parabolic SAR step=0.015, maxStep=0.26 |
19.8% | -47.4% | 0.69 | 0.42 | 112.4x | 309 | 45% |
| Supertrend period=14, mult=2.5 |
22.5% | -65.8% | 0.68 | 0.34 | 200.2x | 157 | 46% |
| ADX / DI 방향성 period=12, threshold=20 |
18.7% | -54.1% | 0.67 | 0.35 | 88.3x | 295 | 34% |
| Donchian 채널 돌파 entryN=64, exitN=7 |
21.8% | -33.7% | 0.66 | 0.65 | 170.6x | 84 | 24% |
| EMA 크로스오버 fast=6, slow=23 |
18.1% | -61.9% | 0.64 | 0.29 | 77.3x | 191 | 46% |
| ROC 모멘텀 n=74, threshold=-0.01 |
21.2% | -47.1% | 0.62 | 0.45 | 151.4x | 146 | 54% |
| SMA 크로스오버 fast=8, slow=111 |
13.7% | -66.0% | 0.53 | 0.21 | 28.7x | 80 | 50% |
| MACD fast=8, slow=35, signal=17 |
13.7% | -74.9% | 0.47 | 0.18 | 28.4x | 347 | 49% |
| Buy and hold | -0.1% | -96.3% | 0.25 | -0.00 | 1.0x | 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 5-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 5-day middle average