Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Entain PLC backtest
10 trend-following strategies were compared on the full daily history of Entain PLC. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.1%, MDD -23.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.5%, drawdown -91.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.5%, MDD -45.3%, Sharpe 0.58, 56% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.9%p higher than buy and hold, while drawdown improves by 46.1%p (CAGR 2.1%, MDD -23.8%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=10, exitN=10 |
14.5% | -45.3% | 0.58 | 0.32 | 18.8x | 200 | 56% |
| Supertrend period=7, mult=3.6 |
12.3% | -58.1% | 0.52 | 0.21 | 12.4x | 108 | 57% |
| Parabolic SAR step=0.01, maxStep=0.38 |
10.5% | -47.2% | 0.47 | 0.22 | 8.7x | 260 | 52% |
| SMA 크로스오버 fast=17, slow=113 |
9.8% | -70.5% | 0.47 | 0.14 | 7.7x | 50 | 54% |
| EMA 크로스오버 fast=11, slow=202 |
9.0% | -62.0% | 0.47 | 0.14 | 6.4x | 40 | 49% |
| ROC 모멘텀 n=15, threshold=-0.05 |
10.7% | -70.0% | 0.46 | 0.15 | 9.0x | 393 | 73% |
| 볼린저 밴드 돌파 n=14, k=3.5 |
2.1% | -23.8% | 0.40 | 0.09 | 1.6x | 12 | 2% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=10, mult=1.3 |
6.8% | -56.8% | 0.38 | 0.12 | 4.2x | 172 | 40% |
| ADX / DI 방향성 period=8, threshold=20 |
4.5% | -57.8% | 0.29 | 0.08 | 2.6x | 482 | 45% |
| MACD fast=7, slow=59, signal=15 |
2.7% | -67.3% | 0.24 | 0.04 | 1.8x | 328 | 49% |
| Buy and hold | 0.5% | -91.4% | 0.23 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 10 days
- Sell — Sell when price breaks below the lowest low of the last 10 days