Trend-Following Backtester · Guide · backtest 한국어
equity · GB
GB Group PLC backtest
10 trend-following strategies were compared on the full daily history of GB Group PLC. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.6%, MDD -48.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.3%, drawdown -98.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 18.0%, MDD -63.8%, Sharpe 0.63, 41% exposure.
CAGR reference leader: Supertrend — CAGR 18.8%, MDD -72.6%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.7%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 13.6%, MDD -48.6%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=11, threshold=21 |
18.0% | -63.8% | 0.63 | 0.28 | 239.4x | 466 | 41% |
| Supertrend period=11, mult=2.7 |
18.8% | -72.6% | 0.62 | 0.26 | 303.8x | 291 | 53% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=12, mult=0.9 |
14.3% | -56.4% | 0.54 | 0.25 | 85.1x | 455 | 33% |
| 볼린저 밴드 돌파 n=10, k=2.1 |
13.6% | -48.6% | 0.54 | 0.28 | 69.3x | 400 | 25% |
| Parabolic SAR step=0.02, maxStep=0.14 |
14.6% | -72.8% | 0.53 | 0.20 | 92.0x | 529 | 48% |
| EMA 크로스오버 fast=21, slow=377 |
9.8% | -76.4% | 0.43 | 0.13 | 22.0x | 30 | 49% |
| SMA 크로스오버 fast=15, slow=336 |
9.1% | -78.6% | 0.41 | 0.12 | 17.8x | 46 | 51% |
| MACD fast=6, slow=47, signal=8 |
5.6% | -77.2% | 0.32 | 0.07 | 6.1x | 699 | 48% |
| Donchian 채널 돌파 entryN=103, exitN=57 |
5.5% | -85.0% | 0.31 | 0.06 | 5.9x | 52 | 43% |
| ROC 모멘텀 n=138, threshold=-0.04 |
3.2% | -86.0% | 0.26 | 0.04 | 2.8x | 194 | 61% |
| Buy and hold | 1.3% | -98.7% | 0.27 | 0.01 | 1.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 11-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)