Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Hunting PLC backtest
10 trend-following strategies were compared on the full daily history of Hunting PLC. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.7%, MDD -12.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.6%, drawdown -87.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.7%, MDD -12.8%, Sharpe 0.77, 10% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.8%, MDD -73.3%, exposure 72%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 74.6%p (CAGR 4.7%, MDD -12.8%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=18, mult=4 |
4.7% | -12.8% | 0.77 | 0.37 | 5.7x | 80 | 10% |
| Donchian 채널 돌파 entryN=26, exitN=68 |
11.8% | -73.3% | 0.52 | 0.16 | 70.5x | 90 | 72% |
| 볼린저 밴드 돌파 n=18, k=3 |
4.7% | -31.7% | 0.47 | 0.15 | 5.8x | 130 | 14% |
| SMA 크로스오버 fast=22, slow=65 |
9.0% | -56.5% | 0.45 | 0.16 | 27.1x | 142 | 55% |
| Supertrend period=19, mult=4.8 |
8.8% | -72.6% | 0.45 | 0.12 | 24.7x | 182 | 55% |
| EMA 크로스오버 fast=10, slow=37 |
7.0% | -73.2% | 0.39 | 0.10 | 13.3x | 232 | 55% |
| ADX / DI 방향성 period=34, threshold=9 |
6.7% | -77.0% | 0.38 | 0.09 | 12.1x | 356 | 54% |
| ROC 모멘텀 n=45, threshold=-0.03 |
6.6% | -79.4% | 0.36 | 0.08 | 11.4x | 446 | 62% |
| Parabolic SAR step=0.015, maxStep=0.14 |
3.2% | -87.5% | 0.25 | 0.04 | 3.3x | 576 | 51% |
| MACD fast=23, slow=52, signal=19 |
2.6% | -89.1% | 0.23 | 0.03 | 2.7x | 342 | 52% |
| Buy and hold | 2.6% | -87.4% | 0.26 | 0.03 | 2.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 14-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average