Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Ninety One Plc backtest
10 trend-following strategies were compared on the full daily history of Ninety One Plc. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 6.5%, MDD -36.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.5%, drawdown -56.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.7%, MDD -6.1%, Sharpe 0.49, 4% exposure.
CAGR reference leader: Supertrend — CAGR 6.5%, MDD -36.5%, exposure 46%.
Return/drawdown alternative: Supertrend — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 50.6%p (CAGR 6.5%, MDD -36.5%, exposure 46%).
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=8, mult=1.9 |
2.7% | -6.1% | 0.49 | 0.44 | 1.2x | 4 | 4% |
| Supertrend period=8, mult=4.5 |
6.5% | -36.5% | 0.40 | 0.18 | 1.5x | 8 | 46% |
| ADX / DI 방향성 period=36, threshold=29 |
1.2% | -6.3% | 0.33 | 0.19 | 1.1x | 2 | 3% |
| Donchian 채널 돌파 entryN=90, exitN=8 |
2.2% | -22.0% | 0.26 | 0.10 | 1.2x | 8 | 16% |
| SMA 크로스오버 fast=53, slow=212 |
2.7% | -20.0% | 0.24 | 0.13 | 1.2x | 8 | 40% |
| ROC 모멘텀 n=82, threshold=0.14 |
1.6% | -17.9% | 0.22 | 0.09 | 1.1x | 36 | 14% |
| EMA 크로스오버 fast=73, slow=189 |
1.1% | -31.2% | 0.15 | 0.04 | 1.1x | 5 | 42% |
| 볼린저 밴드 돌파 n=23, k=2.4 |
0.6% | -24.3% | 0.11 | 0.02 | 1.0x | 26 | 17% |
| MACD fast=15, slow=31, signal=7 |
-4.7% | -51.5% | -0.14 | -0.09 | 0.7x | 108 | 47% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-14.0% | -69.6% | -0.57 | -0.20 | 0.4x | 123 | 48% |
| Buy and hold | 5.5% | -56.7% | 0.33 | 0.10 | 1.4x | 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 + 1.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average