Trend-Following Backtester · Guide · backtest 한국어
equity · GB
ITM Power PLC backtest
10 trend-following strategies were compared on the full daily history of ITM Power PLC. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.2%, MDD -50.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.2%, drawdown -97.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.2%, MDD -67.3%, Sharpe 0.63, 28% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.0%p higher than buy and hold, while drawdown improves by 30.0%p (CAGR 15.2%, MDD -50.0%, exposure 11%).
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=91, exitN=33 |
21.2% | -67.3% | 0.63 | 0.32 | 71.8x | 28 | 28% |
| 볼린저 밴드 돌파 n=12, k=2.7 |
15.2% | -50.0% | 0.61 | 0.30 | 23.0x | 98 | 11% |
| Parabolic SAR step=0.035, maxStep=0.12 |
16.7% | -88.8% | 0.54 | 0.19 | 30.9x | 542 | 45% |
| ROC 모멘텀 n=114, threshold=0.1 |
16.6% | -75.0% | 0.54 | 0.22 | 30.1x | 149 | 38% |
| SMA 크로스오버 fast=19, slow=130 |
14.5% | -83.8% | 0.51 | 0.17 | 20.3x | 58 | 44% |
| EMA 크로스오버 fast=38, slow=92 |
14.5% | -78.7% | 0.51 | 0.18 | 20.1x | 44 | 44% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=14, mult=3.9 |
10.9% | -72.5% | 0.45 | 0.15 | 9.9x | 34 | 16% |
| Supertrend period=26, mult=5 |
3.5% | -91.3% | 0.32 | 0.04 | 2.2x | 62 | 44% |
| MACD fast=13, slow=36, signal=7 |
2.1% | -94.3% | 0.31 | 0.02 | 1.6x | 419 | 49% |
| ADX / DI 방향성 period=34, threshold=17 |
4.1% | -69.8% | 0.30 | 0.06 | 2.4x | 76 | 22% |
| Buy and hold | 3.2% | -97.2% | 0.41 | 0.03 | 2.0x | 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 91 days
- Sell — Sell when price breaks below the lowest low of the last 33 days