Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Fevertree Drinks PLC backtest
10 trend-following strategies were compared on the full daily history of Fevertree Drinks PLC. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 15.4%, MDD -32.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 14.9%, drawdown -84.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.2%, MDD -33.2%, Sharpe 0.87, 52% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 51.3%p (CAGR 15.4%, MDD -32.6%, exposure 34%).
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=34, exitN=24 |
22.2% | -33.2% | 0.87 | 0.67 | 10.6x | 31 | 52% |
| EMA 크로스오버 fast=44, slow=63 |
20.4% | -49.3% | 0.77 | 0.41 | 8.9x | 23 | 59% |
| 볼린저 밴드 돌파 n=59, k=3.3 |
7.5% | -19.7% | 0.76 | 0.38 | 2.4x | 10 | 13% |
| ROC 모멘텀 n=142, threshold=0.21 |
15.4% | -32.6% | 0.75 | 0.47 | 5.4x | 48 | 34% |
| Supertrend period=10, mult=4.7 |
19.6% | -44.9% | 0.73 | 0.44 | 8.2x | 27 | 62% |
| SMA 크로스오버 fast=34, slow=106 |
18.6% | -47.5% | 0.72 | 0.39 | 7.5x | 21 | 59% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=23, mult=3.5 |
8.1% | -18.0% | 0.67 | 0.45 | 2.5x | 24 | 15% |
| ADX / DI 방향성 period=28, threshold=14 |
13.0% | -57.4% | 0.62 | 0.23 | 4.2x | 76 | 41% |
| Parabolic SAR step=0.015, maxStep=0.2 |
0.2% | -70.9% | 0.15 | 0.00 | 1.0x | 214 | 53% |
| MACD fast=9, slow=28, signal=7 |
-2.4% | -87.8% | 0.07 | -0.03 | 0.7x | 284 | 48% |
| Buy and hold | 14.9% | -84.5% | 0.54 | 0.18 | 5.1x | 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 34 days
- Sell — Sell when price breaks below the lowest low of the last 24 days