Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Galliford Try Holdings PLC backtest
10 trend-following strategies were compared on the full daily history of Galliford Try Holdings PLC. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.5%, MDD -36.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.8%, drawdown -87.5%).
Sharpe leader (same as main): Supertrend — CAGR 18.2%, MDD -58.7%, Sharpe 0.73, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.4%p higher than buy and hold, while drawdown improves by 28.8%p (CAGR 8.5%, MDD -36.1%, exposure 28%).
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=22, mult=5 |
18.2% | -58.7% | 0.73 | 0.31 | 588.1x | 189 | 55% |
| Donchian 채널 돌파 entryN=18, exitN=13 |
16.1% | -39.3% | 0.68 | 0.41 | 298.3x | 297 | 49% |
| ADX / DI 방향성 period=16, threshold=11 |
11.3% | -56.3% | 0.50 | 0.20 | 59.2x | 549 | 53% |
| EMA 크로스오버 fast=52, slow=113 |
10.8% | -70.2% | 0.50 | 0.15 | 49.6x | 57 | 59% |
| ROC 모멘텀 n=113, threshold=-0.03 |
10.4% | -62.1% | 0.48 | 0.17 | 44.1x | 271 | 63% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=29, mult=1.9 |
8.5% | -36.1% | 0.47 | 0.24 | 22.6x | 260 | 28% |
| SMA 크로스오버 fast=12, slow=33 |
10.0% | -49.7% | 0.47 | 0.20 | 38.4x | 289 | 52% |
| 볼린저 밴드 돌파 n=38, k=0.7 |
9.7% | -48.6% | 0.47 | 0.20 | 34.4x | 347 | 46% |
| Parabolic SAR step=0.015, maxStep=0.1 |
8.9% | -54.6% | 0.43 | 0.16 | 26.3x | 525 | 50% |
| MACD fast=16, slow=46, signal=19 |
8.7% | -70.0% | 0.42 | 0.12 | 23.8x | 406 | 50% |
| Buy and hold | 6.8% | -87.5% | 0.35 | 0.08 | 12.4x | 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) — 22-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)