Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Michael Page PLC backtest
10 trend-following strategies were compared on the full daily history of Michael Page PLC. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.9%, MDD -12.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.1%, drawdown -84.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.9%, MDD -24.3%, Sharpe 0.45, 10% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.0%, MDD -66.5%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 60.6%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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=32, k=3.1 |
3.9% | -24.3% | 0.45 | 0.16 | 2.7x | 33 | 10% |
| Donchian 채널 돌파 entryN=54, exitN=34 |
5.0% | -66.5% | 0.34 | 0.08 | 3.5x | 55 | 48% |
| SMA 크로스오버 fast=29, slow=164 |
4.8% | -58.6% | 0.32 | 0.08 | 3.3x | 40 | 51% |
| ROC 모멘텀 n=142, threshold=-0.04 |
4.9% | -56.1% | 0.32 | 0.09 | 3.4x | 140 | 56% |
| ADX / DI 방향성 period=33, threshold=37 |
0.9% | -12.0% | 0.31 | 0.08 | 1.3x | 2 | 2% |
| EMA 크로스오버 fast=31, slow=134 |
2.8% | -57.8% | 0.24 | 0.05 | 2.0x | 44 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=18, mult=2.9 |
2.1% | -44.9% | 0.21 | 0.05 | 1.7x | 75 | 28% |
| Supertrend period=29, mult=4.7 |
2.3% | -69.0% | 0.21 | 0.03 | 1.8x | 75 | 52% |
| MACD fast=17, slow=23, signal=15 |
-5.1% | -92.1% | -0.08 | -0.06 | 0.3x | 383 | 51% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-5.3% | -95.7% | -0.11 | -0.06 | 0.2x | 215 | 50% |
| Buy and hold | 0.1% | -84.8% | 0.18 | 0.00 | 1.0x | 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 32-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 32-day middle average