Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Pennon Group Plc backtest
10 trend-following strategies were compared on the full daily history of Pennon Group Plc. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.8%, drawdown -78.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.9%, MDD -9.5%, Sharpe 0.34, 2% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.9%, MDD -78.6%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=18, k=3.5 |
0.9% | -9.5% | 0.34 | 0.09 | 1.4x | 16 | 2% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.13 |
6.9% | -78.6% | 0.26 | 0.09 | 11.6x | 13 | 100% |
| Supertrend period=15, mult=4.4 |
4.6% | -77.8% | 0.21 | 0.06 | 5.2x | 192 | 55% |
| Donchian 채널 돌파 entryN=5, exitN=47 |
2.7% | -90.2% | 0.20 | 0.03 | 2.6x | 229 | 85% |
| SMA 크로스오버 fast=58, slow=187 |
1.7% | -54.8% | 0.18 | 0.03 | 1.8x | 58 | 58% |
| EMA 크로스오버 fast=28, slow=196 |
1.3% | -54.1% | 0.16 | 0.02 | 1.6x | 74 | 58% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=10, mult=3.8 |
0.5% | -66.6% | 0.12 | 0.01 | 1.2x | 76 | 7% |
| MACD fast=15, slow=50, signal=17 |
0.1% | -87.7% | 0.12 | 0.00 | 1.0x | 445 | 49% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-4.8% | -98.2% | 0.09 | -0.05 | 0.2x | 642 | 52% |
| ADX / DI 방향성 period=39, threshold=43 |
0.1% | -6.6% | 0.07 | 0.01 | 1.0x | 2 | 0% |
| Buy and hold | 7.8% | -78.5% | 0.27 | 0.10 | 15.8x | 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 18-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 18-day middle average