Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Next 15 Group plc backtest
10 trend-following strategies were compared on the full daily history of Next 15 Group plc. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.8%, MDD -28.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.7%, drawdown -90.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.8%, MDD -28.4%, Sharpe 0.70, 25% exposure.
CAGR reference leader: Parabolic SAR — CAGR 14.1%, MDD -79.4%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 62.4%p (CAGR 11.8%, MDD -28.4%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=16, k=2.5 |
11.8% | -28.4% | 0.70 | 0.42 | 19.9x | 184 | 25% |
| Keltner 채널 돌파 emaPeriod=5, atrPeriod=16, mult=0.9 |
11.6% | -56.8% | 0.69 | 0.20 | 18.8x | 294 | 25% |
| Donchian 채널 돌파 entryN=101, exitN=64 |
13.3% | -61.0% | 0.65 | 0.22 | 28.2x | 31 | 56% |
| Parabolic SAR step=0.03, maxStep=0.12 |
14.1% | -79.4% | 0.62 | 0.18 | 34.1x | 532 | 49% |
| EMA 크로스오버 fast=4, slow=154 |
12.3% | -50.5% | 0.60 | 0.24 | 22.1x | 85 | 59% |
| Supertrend period=29, mult=3 |
13.2% | -66.0% | 0.60 | 0.20 | 27.7x | 157 | 55% |
| ROC 모멘텀 n=142, threshold=-0.02 |
10.9% | -59.1% | 0.54 | 0.18 | 15.7x | 109 | 61% |
| SMA 크로스오버 fast=18, slow=166 |
10.5% | -52.2% | 0.54 | 0.20 | 14.5x | 49 | 59% |
| ADX / DI 방향성 period=14, threshold=27 |
5.5% | -34.0% | 0.43 | 0.16 | 4.2x | 195 | 23% |
| MACD fast=19, slow=23, signal=14 |
2.8% | -81.0% | 0.24 | 0.03 | 2.1x | 340 | 49% |
| Buy and hold | 2.7% | -90.8% | 0.27 | 0.03 | 2.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 16-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 16-day middle average