Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Molten Ventures PLC backtest
10 trend-following strategies were compared on the full daily history of Molten Ventures PLC. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.2%, MDD -27.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 8.5%, drawdown -82.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.2%, MDD -27.9%, Sharpe 0.76, 40% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 54.4%p (CAGR 15.2%, MDD -27.9%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=84, exitN=31 |
15.2% | -27.9% | 0.76 | 0.54 | 4.2x | 17 | 40% |
| EMA 크로스오버 fast=18, slow=186 |
13.7% | -56.5% | 0.61 | 0.24 | 3.7x | 15 | 51% |
| 볼린저 밴드 돌파 n=32, k=2 |
11.3% | -34.0% | 0.59 | 0.33 | 3.0x | 57 | 33% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=2.4 |
11.1% | -46.9% | 0.58 | 0.24 | 2.9x | 31 | 40% |
| ROC 모멘텀 n=73, threshold=0.08 |
10.9% | -42.7% | 0.55 | 0.26 | 2.9x | 83 | 40% |
| Supertrend period=33, mult=2.3 |
12.2% | -66.3% | 0.54 | 0.18 | 3.2x | 75 | 55% |
| ADX / DI 방향성 period=30, threshold=17 |
9.0% | -33.1% | 0.51 | 0.27 | 2.4x | 55 | 30% |
| SMA 크로스오버 fast=36, slow=119 |
8.3% | -64.2% | 0.42 | 0.13 | 2.3x | 21 | 54% |
| MACD fast=24, slow=52, signal=18 |
7.8% | -62.5% | 0.40 | 0.13 | 2.2x | 89 | 50% |
| Parabolic SAR step=0.005, maxStep=0.24 |
2.3% | -76.6% | 0.22 | 0.03 | 1.3x | 89 | 51% |
| Buy and hold | 8.5% | -82.3% | 0.40 | 0.10 | 2.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 84 days
- Sell — Sell when price breaks below the lowest low of the last 31 days