Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Gooch & Housego PLC backtest
10 trend-following strategies were compared on the full daily history of Gooch & Housego PLC. 9 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.9%, MDD -56.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 8.1%, drawdown -94.1%).
Sharpe leader (same as main): Parabolic SAR — CAGR 18.4%, MDD -69.7%, Sharpe 0.64, 50% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 24.4%p (CAGR 14.9%, MDD -56.3%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.025, maxStep=0.36 |
18.4% | -69.7% | 0.64 | 0.26 | 128.7x | 605 | 50% |
| Donchian 채널 돌파 entryN=12, exitN=8 |
14.9% | -56.3% | 0.58 | 0.27 | 54.4x | 244 | 50% |
| ADX / DI 방향성 period=23, threshold=12 |
13.5% | -61.5% | 0.54 | 0.22 | 38.2x | 321 | 49% |
| 볼린저 밴드 돌파 n=35, k=1.3 |
12.5% | -69.9% | 0.52 | 0.18 | 29.3x | 217 | 42% |
| Supertrend period=17, mult=3.8 |
12.9% | -71.8% | 0.52 | 0.18 | 32.3x | 111 | 57% |
| EMA 크로스오버 fast=30, slow=109 |
12.8% | -67.5% | 0.51 | 0.19 | 31.6x | 59 | 56% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=27, mult=0.7 |
12.1% | -64.6% | 0.51 | 0.19 | 26.6x | 245 | 47% |
| ROC 모멘텀 n=70, threshold=0 |
11.5% | -84.4% | 0.47 | 0.14 | 22.8x | 277 | 55% |
| SMA 크로스오버 fast=19, slow=148 |
10.6% | -73.7% | 0.45 | 0.14 | 17.9x | 69 | 56% |
| MACD fast=18, slow=41, signal=12 |
7.0% | -74.8% | 0.36 | 0.09 | 7.0x | 350 | 51% |
| Buy and hold | 8.1% | -94.1% | 0.41 | 0.09 | 9.4x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots