Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Filtronic plc backtest
10 trend-following strategies were compared on the full daily history of Filtronic plc. 10 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 4.5%, MDD -65.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.5%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -6.3%, MDD -99.9%, Sharpe 0.39, 64% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.4%, MDD -81.5%, exposure 36%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 0.1%p (CAGR 4.5%, MDD -65.4%, 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=65, exitN=82 |
-6.3% | -99.9% | 0.39 | -0.06 | 0.1x | 35 | 64% |
| ROC 모멘텀 n=122, threshold=0.17 |
8.4% | -81.5% | 0.39 | 0.10 | 12.8x | 173 | 36% |
| Parabolic SAR step=0.03, maxStep=0.14 |
-7.9% | -99.9% | 0.34 | -0.08 | 0.1x | 510 | 49% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=24, mult=2.8 |
5.9% | -79.1% | 0.32 | 0.07 | 6.1x | 130 | 29% |
| Supertrend period=13, mult=2.9 |
-8.7% | -100.0% | 0.32 | -0.09 | 0.1x | 236 | 58% |
| EMA 크로스오버 fast=35, slow=59 |
-8.5% | -100.0% | 0.32 | -0.09 | 0.1x | 92 | 48% |
| SMA 크로스오버 fast=15, slow=147 |
-9.2% | -100.0% | 0.31 | -0.09 | 0.0x | 69 | 52% |
| 볼린저 밴드 돌파 n=34, k=2.6 |
4.8% | -75.5% | 0.30 | 0.06 | 4.5x | 124 | 31% |
| ADX / DI 방향성 period=47, threshold=30 |
4.5% | -65.4% | 0.28 | 0.07 | 4.1x | 20 | 9% |
| MACD fast=17, slow=46, signal=17 |
1.9% | -93.8% | 0.25 | 0.02 | 1.8x | 300 | 51% |
| Buy and hold | -12.5% | -100.0% | 0.32 | -0.12 | 0.0x | 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 65 days
- Sell — Sell when price breaks below the lowest low of the last 82 days