Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Metro Bank Holdings Plc backtest
10 trend-following strategies were compared on the full daily history of Metro Bank Holdings Plc. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.3%, MDD -17.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -21.4%, drawdown -99.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 11.1%, MDD -25.8%, Sharpe 0.66, 17% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.7%, MDD -34.0%, exposure 34%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 32.5%p higher than buy and hold, while drawdown improves by 73.5%p (CAGR 4.3%, MDD -17.5%, exposure 3%).
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=49, atrPeriod=8, mult=3.4 |
11.1% | -25.8% | 0.66 | 0.43 | 3.0x | 14 | 17% |
| Donchian 채널 돌파 entryN=66, exitN=34 |
14.7% | -34.0% | 0.63 | 0.43 | 4.2x | 17 | 34% |
| ROC 모멘텀 n=122, threshold=0.09 |
13.6% | -46.8% | 0.60 | 0.29 | 3.8x | 49 | 35% |
| 볼린저 밴드 돌파 n=37, k=2 |
13.0% | -52.1% | 0.57 | 0.25 | 3.6x | 46 | 30% |
| EMA 크로스오버 fast=13, slow=70 |
12.4% | -41.8% | 0.53 | 0.30 | 3.4x | 37 | 43% |
| ADX / DI 방향성 period=27, threshold=37 |
4.3% | -17.5% | 0.51 | 0.25 | 1.6x | 2 | 3% |
| SMA 크로스오버 fast=40, slow=145 |
10.8% | -48.6% | 0.49 | 0.22 | 2.9x | 17 | 41% |
| Supertrend period=16, mult=3.2 |
5.8% | -78.5% | 0.34 | 0.07 | 1.8x | 43 | 44% |
| MACD fast=19, slow=67, signal=30 |
-4.8% | -94.7% | 0.13 | -0.05 | 0.6x | 66 | 52% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-8.9% | -92.2% | -0.02 | -0.10 | 0.4x | 182 | 48% |
| Buy and hold | -21.4% | -99.3% | -0.11 | -0.22 | 0.1x | 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 49-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 49-day average