Trend-Following Backtester · Guide · backtest 한국어

equity · GB

Future plc backtest

10 trend-following strategies were compared on the full daily history of Future plc. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.2%, MDD -45.8%).

Data 1999-06-18 ~ 2026-07-31daily bars 6,906 (27.1 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR -9.3%, drawdown -99.2%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.2%, MDD -45.8%, Sharpe 0.56, 16% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 9.6%, MDD -69.0%, exposure 51%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 18.5%p higher than buy and hold, while drawdown improves by 53.4%p (CAGR 9.2%, MDD -45.8%, exposure 16%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=34, atrPeriod=9, mult=3.6
9.2%-45.8%0.560.2010.9x5416%
Donchian 채널 돌파
entryN=36, exitN=47
9.6%-69.0%0.430.1411.9x7351%
볼린저 밴드 돌파
n=56, k=2.9
7.5%-57.2%0.430.137.1x6224%
ROC 모멘텀
n=176, threshold=0.03
7.6%-73.6%0.390.107.3x13446%
ADX / DI 방향성
period=14, threshold=30
5.6%-60.7%0.360.094.4x13417%
SMA 크로스오버
fast=20, slow=47
6.9%-75.1%0.360.096.1x15047%
Supertrend
period=9, mult=3
4.3%-91.0%0.290.053.1x20050%
EMA 크로스오버
fast=9, slow=51
4.5%-85.8%0.290.053.3x17046%
Parabolic SAR
step=0.005, maxStep=0.3
2.5%-86.2%0.250.032.0x19549%
MACD
fast=17, slow=31, signal=15
-12.6%-98.6%-0.10-0.130.0x35950%
Buy and hold-9.3%-99.2%0.12-0.090.1x1100%
0.1 1x 10x 2000 2004 2008 2012 2016 2020 2024 Donchian 채널 돌파Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -25% -50% -74% -99% 2000 2004 2008 2012 2016 2020 2024 Buy and holdDonchian 채널 돌파Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -45.8% (2001-12-12 → 2012-10-04), recovered after 5,473 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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