Trend-Following Backtester · Guide · backtest 한국어

equity · GB

Derwent London plc backtest

10 trend-following strategies were compared on the full daily history of Derwent London plc. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.4%, MDD -12.3%).

Data 1988-07-01 ~ 2026-07-31daily bars 9,766 (38.1 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 5.5%, drawdown -79.8%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.0%, MDD -14.0%, Sharpe 1.28, 16% exposure.

CAGR reference leader: Supertrend — CAGR 10.7%, MDD -60.0%, exposure 57%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 65.9%p (CAGR 6.4%, MDD -12.3%, exposure 19%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=13, atrPeriod=18, mult=4
7.0%-14.0%1.280.5013.3x8816%
ADX / DI 방향성
period=29, threshold=32
6.4%-12.3%1.100.5210.6x5819%
볼린저 밴드 돌파
n=20, k=3.1
4.6%-23.0%0.850.205.5x7412%
Donchian 채널 돌파
entryN=117, exitN=51
8.8%-45.3%0.720.1924.6x6148%
SMA 크로스오버
fast=10, slow=165
9.9%-59.2%0.710.1736.5x7358%
Supertrend
period=12, mult=4.4
10.7%-60.0%0.700.1847.4x18957%
EMA 크로스오버
fast=49, slow=86
9.6%-58.3%0.690.1633.0x5759%
ROC 모멘텀
n=126, threshold=-0.01
8.7%-70.6%0.610.1224.4x17161%
Parabolic SAR
step=0.015, maxStep=0.36
3.4%-94.6%0.280.043.5x57352%
MACD
fast=26, slow=54, signal=18
0.9%-78.2%0.140.011.4x36348%
Buy and hold5.5%-79.8%0.340.077.6x1100%
1x 10x 100x 1989 1994 1999 2004 2009 2014 2019 2024 SupertrendKeltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), Supertrend (CAGR reference), Buy and hold.
0% -20% -40% -60% -80% 1989 1994 1999 2004 2009 2014 2019 2024 Buy and holdSupertrendKeltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -14.0% (2003-06-16 → 2020-11-26), prior peak not yet recovered.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next