Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Volution Group plc backtest
10 trend-following strategies were compared on the full daily history of Volution Group plc. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.4%, drawdown -51.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.2%, MDD -24.2%, Sharpe 0.65, 15% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.2%, MDD -36.7%, exposure 63%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=76, atrPeriod=11, mult=3.9 |
8.2% | -24.2% | 0.65 | 0.34 | 2.6x | 8 | 15% |
| ADX / DI 방향성 period=31, threshold=21 |
7.1% | -15.5% | 0.64 | 0.46 | 2.3x | 14 | 12% |
| Donchian 채널 돌파 entryN=89, exitN=92 |
9.2% | -36.7% | 0.47 | 0.25 | 2.9x | 13 | 63% |
| 볼린저 밴드 돌파 n=73, k=3.1 |
5.9% | -22.8% | 0.47 | 0.26 | 2.0x | 17 | 20% |
| SMA 크로스오버 fast=30, slow=142 |
8.1% | -51.9% | 0.43 | 0.16 | 2.6x | 25 | 59% |
| ROC 모멘텀 n=119, threshold=-0.11 |
6.8% | -54.4% | 0.37 | 0.13 | 2.2x | 65 | 79% |
| EMA 크로스오버 fast=45, slow=84 |
6.1% | -37.4% | 0.36 | 0.16 | 2.1x | 27 | 60% |
| Supertrend period=22, mult=3.3 |
2.2% | -50.6% | 0.21 | 0.04 | 1.3x | 55 | 61% |
| MACD fast=12, slow=27, signal=12 |
-2.9% | -55.7% | 0.00 | -0.05 | 0.7x | 206 | 49% |
| Parabolic SAR step=0.03, maxStep=0.24 |
-4.9% | -63.1% | -0.07 | -0.08 | 0.5x | 337 | 54% |
| Buy and hold | 13.4% | -51.9% | 0.53 | 0.26 | 4.6x | 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 76-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 76-day average