Trend-Following Backtester · Guide · backtest 한국어
equity · GB
discoverIE Group PLC backtest
10 trend-following strategies were compared on the full daily history of discoverIE Group PLC. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.4%, MDD -49.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.7%, drawdown -89.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.0%, MDD -54.6%, Sharpe 0.52, 26% exposure.
CAGR reference leader: Supertrend — CAGR 8.8%, MDD -65.7%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 6.4%, MDD -49.4%, exposure 41%).
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=26, atrPeriod=25, mult=3.3 |
6.0% | -54.6% | 0.52 | 0.11 | 9.2x | 116 | 26% |
| Supertrend period=22, mult=4.9 |
8.8% | -65.7% | 0.47 | 0.13 | 24.6x | 157 | 53% |
| ADX / DI 방향성 period=32, threshold=23 |
4.5% | -28.0% | 0.47 | 0.16 | 5.3x | 112 | 24% |
| EMA 크로스오버 fast=26, slow=59 |
7.8% | -63.3% | 0.44 | 0.12 | 17.8x | 113 | 56% |
| Donchian 채널 돌파 entryN=31, exitN=64 |
8.1% | -65.1% | 0.42 | 0.12 | 19.7x | 103 | 69% |
| 볼린저 밴드 돌파 n=54, k=1.4 |
6.4% | -49.4% | 0.41 | 0.13 | 10.5x | 181 | 41% |
| SMA 크로스오버 fast=10, slow=95 |
6.7% | -71.2% | 0.39 | 0.09 | 11.9x | 147 | 54% |
| Parabolic SAR step=0.005, maxStep=0.06 |
5.6% | -59.7% | 0.35 | 0.09 | 7.9x | 255 | 50% |
| ROC 모멘텀 n=79, threshold=-0.08 |
4.2% | -77.4% | 0.29 | 0.05 | 4.8x | 257 | 73% |
| MACD fast=16, slow=56, signal=16 |
-0.0% | -94.1% | 0.12 | -0.00 | 1.0x | 389 | 48% |
| Buy and hold | 5.7% | -89.2% | 0.33 | 0.06 | 8.2x | 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 26-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 26-day average