Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Funding Circle Holdings Plc backtest
10 trend-following strategies were compared on the full daily history of Funding Circle Holdings Plc. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.1%, MDD -23.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.8%, drawdown -94.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.6%, MDD -32.1%, Sharpe 0.79, 16% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 22.7%, MDD -37.7%, exposure 41%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 23.3%p higher than buy and hold, while drawdown improves by 62.0%p (CAGR 6.1%, MDD -23.8%, exposure 9%).
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=148, exitN=20 |
17.6% | -32.1% | 0.79 | 0.55 | 3.6x | 9 | 16% |
| EMA 크로스오버 fast=39, slow=216 |
22.7% | -37.7% | 0.79 | 0.60 | 5.0x | 5 | 41% |
| SMA 크로스오버 fast=59, slow=161 |
20.4% | -47.6% | 0.70 | 0.43 | 4.3x | 13 | 43% |
| 볼린저 밴드 돌파 n=39, k=3.5 |
11.3% | -32.4% | 0.60 | 0.35 | 2.3x | 13 | 14% |
| ROC 모멘텀 n=88, threshold=0.1 |
14.4% | -43.0% | 0.58 | 0.34 | 2.9x | 73 | 32% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=31, mult=2.3 |
9.9% | -38.5% | 0.53 | 0.26 | 2.1x | 20 | 8% |
| Supertrend period=21, mult=2.6 |
12.7% | -63.9% | 0.47 | 0.20 | 2.6x | 47 | 42% |
| ADX / DI 방향성 period=27, threshold=29 |
6.1% | -23.8% | 0.45 | 0.26 | 1.6x | 9 | 9% |
| Parabolic SAR step=0.045, maxStep=0.32 |
0.9% | -77.1% | 0.24 | 0.01 | 1.1x | 265 | 49% |
| MACD fast=11, slow=17, signal=17 |
-8.5% | -82.5% | 0.06 | -0.10 | 0.5x | 138 | 53% |
| Buy and hold | -5.8% | -94.1% | 0.27 | -0.06 | 0.6x | 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 148 days
- Sell — Sell when price breaks below the lowest low of the last 20 days