Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Polar Capital Holdings Plc backtest
10 trend-following strategies were compared on the full daily history of Polar Capital Holdings Plc. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.9%, MDD -24.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.9%, drawdown -87.9%).
Sharpe leader (same as main): Supertrend — CAGR 16.5%, MDD -51.6%, Sharpe 0.75, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 9.6%p higher than buy and hold, while drawdown improves by 36.2%p (CAGR 9.9%, MDD -24.7%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=20, mult=2.7 |
16.5% | -51.6% | 0.75 | 0.32 | 19.7x | 105 | 56% |
| Parabolic SAR step=0.01, maxStep=0.36 |
16.3% | -40.4% | 0.75 | 0.40 | 19.3x | 251 | 53% |
| ROC 모멘텀 n=139, threshold=0.1 |
12.9% | -53.8% | 0.75 | 0.24 | 10.7x | 99 | 43% |
| SMA 크로스오버 fast=33, slow=178 |
14.6% | -51.8% | 0.73 | 0.28 | 14.3x | 27 | 55% |
| Donchian 채널 돌파 entryN=138, exitN=16 |
9.9% | -24.7% | 0.72 | 0.40 | 6.3x | 36 | 25% |
| EMA 크로스오버 fast=19, slow=93 |
14.8% | -51.0% | 0.72 | 0.29 | 14.8x | 49 | 55% |
| 볼린저 밴드 돌파 n=20, k=2.8 |
7.8% | -28.0% | 0.62 | 0.28 | 4.3x | 78 | 18% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=17, mult=2.1 |
9.2% | -31.4% | 0.59 | 0.29 | 5.6x | 70 | 33% |
| ADX / DI 방향성 period=35, threshold=8 |
8.9% | -49.8% | 0.49 | 0.18 | 5.3x | 227 | 52% |
| MACD fast=13, slow=23, signal=10 |
7.3% | -56.9% | 0.41 | 0.13 | 4.0x | 333 | 49% |
| Buy and hold | 6.9% | -87.9% | 0.36 | 0.08 | 3.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 20-day volatility, 2.7× band
- Sell — Sell when price drops below the trend line (flips down)