Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Games Workshop Group PLC backtest
10 trend-following strategies were compared on the full daily history of Games Workshop Group PLC. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 20.2%, MDD -31.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 17.1%, drawdown -88.3%).
Sharpe leader (same as main): Supertrend — CAGR 26.2%, MDD -38.2%, Sharpe 1.10, 57% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 50.1%p (CAGR 20.2%, MDD -31.4%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=35, mult=3.6 |
26.2% | -38.2% | 1.10 | 0.69 | 1665.5x | 167 | 57% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=29, mult=2 |
20.2% | -31.4% | 1.03 | 0.64 | 346.8x | 190 | 36% |
| ADX / DI 방향성 period=12, threshold=30 |
18.0% | -38.4% | 0.98 | 0.47 | 193.4x | 240 | 30% |
| 볼린저 밴드 돌파 n=36, k=3.2 |
13.5% | -23.7% | 0.97 | 0.57 | 55.8x | 68 | 21% |
| Parabolic SAR step=0.015, maxStep=0.14 |
22.8% | -43.8% | 0.96 | 0.52 | 695.3x | 470 | 54% |
| SMA 크로스오버 fast=1, slow=205 |
21.0% | -52.4% | 0.86 | 0.40 | 427.9x | 129 | 61% |
| EMA 크로스오버 fast=3, slow=119 |
19.3% | -47.1% | 0.83 | 0.41 | 276.6x | 143 | 61% |
| Donchian 채널 돌파 entryN=40, exitN=27 |
17.0% | -40.6% | 0.81 | 0.42 | 149.0x | 107 | 55% |
| ROC 모멘텀 n=125, threshold=-0.02 |
20.0% | -52.9% | 0.81 | 0.38 | 328.3x | 157 | 65% |
| MACD fast=9, slow=59, signal=9 |
14.0% | -58.1% | 0.64 | 0.24 | 65.6x | 528 | 49% |
| Buy and hold | 17.1% | -88.3% | 0.63 | 0.19 | 153.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 35-day volatility, 3.6× band
- Sell — Sell when price drops below the trend line (flips down)