Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Foresight Group Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Foresight Group Holdings Ltd.. 4 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 1.4%, MDD -9.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.3%, drawdown -42.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.6%, MDD -29.7%, Sharpe 0.36, 80% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 13.2%p (CAGR 1.4%, MDD -9.6%, exposure 1%).
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=9, exitN=74 |
6.6% | -29.7% | 0.36 | 0.22 | 1.4x | 19 | 80% |
| ADX / DI 방향성 period=31, threshold=30 |
1.0% | -3.0% | 0.35 | 0.32 | 1.1x | 2 | 3% |
| SMA 크로스오버 fast=31, slow=50 |
5.0% | -22.1% | 0.32 | 0.23 | 1.3x | 31 | 55% |
| 볼린저 밴드 돌파 n=21, k=3.5 |
1.4% | -9.6% | 0.24 | 0.14 | 1.1x | 2 | 1% |
| Supertrend period=28, mult=3.9 |
2.1% | -43.6% | 0.22 | 0.05 | 1.1x | 13 | 66% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=17, mult=2.6 |
0.7% | -10.9% | 0.14 | 0.07 | 1.0x | 4 | 4% |
| EMA 크로스오버 fast=30, slow=40 |
-0.6% | -39.8% | 0.09 | -0.02 | 1.0x | 19 | 52% |
| MACD fast=19, slow=68, signal=18 |
-5.0% | -49.3% | -0.08 | -0.10 | 0.8x | 60 | 47% |
| ROC 모멘텀 n=70, threshold=-0.01 |
-5.8% | -48.8% | -0.12 | -0.12 | 0.7x | 65 | 51% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-9.1% | -55.4% | -0.24 | -0.16 | 0.6x | 84 | 50% |
| Buy and hold | 1.3% | -42.9% | 0.22 | 0.03 | 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 9 days
- Sell — Sell when price breaks below the lowest low of the last 74 days