Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Morgan Advanced Materials plc backtest
10 trend-following strategies were compared on the full daily history of Morgan Advanced Materials plc. 4 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 0.9%, MDD -12.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.1%, drawdown -94.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.9%, MDD -12.0%, Sharpe 0.27, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.1%, MDD -70.4%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 82.2%p (CAGR 0.9%, MDD -12.0%, exposure 2%).
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=13, atrPeriod=15, mult=4 |
0.9% | -12.0% | 0.27 | 0.07 | 1.4x | 20 | 2% |
| ADX / DI 방향성 period=34, threshold=33 |
1.1% | -12.5% | 0.26 | 0.09 | 1.5x | 2 | 1% |
| SMA 크로스오버 fast=58, slow=193 |
2.1% | -70.4% | 0.23 | 0.03 | 2.2x | 51 | 55% |
| EMA 크로스오버 fast=40, slow=143 |
-1.5% | -84.5% | 0.12 | -0.02 | 0.6x | 71 | 55% |
| Donchian 채널 돌파 entryN=99, exitN=104 |
-1.7% | -88.3% | 0.12 | -0.02 | 0.5x | 49 | 57% |
| 볼린저 밴드 돌파 n=22, k=3.4 |
0.0% | -23.4% | 0.03 | 0.00 | 1.0x | 14 | 2% |
| ROC 모멘텀 n=112, threshold=-0.12 |
-8.3% | -98.8% | 0.01 | -0.08 | 0.0x | 335 | 77% |
| MACD fast=26, slow=32, signal=36 |
-9.1% | -98.6% | -0.10 | -0.09 | 0.0x | 347 | 52% |
| Supertrend period=14, mult=5 |
-9.4% | -98.6% | -0.11 | -0.10 | 0.0x | 172 | 54% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-9.9% | -98.9% | -0.14 | -0.10 | 0.0x | 327 | 53% |
| Buy and hold | -0.1% | -94.2% | 0.25 | -0.00 | 1.0x | 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 13-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average