Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Rathbones Group PLC backtest
10 trend-following strategies were compared on the full daily history of Rathbones Group PLC. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.0%, MDD -15.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.8%, drawdown -62.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.0%, MDD -15.0%, Sharpe 1.13, 14% exposure.
CAGR reference leader: Supertrend — CAGR 9.9%, MDD -74.9%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 47.1%p (CAGR 8.0%, MDD -15.0%, exposure 14%).
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=11, atrPeriod=24, mult=3.8 |
8.0% | -15.0% | 1.13 | 0.53 | 18.9x | 78 | 14% |
| 볼린저 밴드 돌파 n=17, k=3.1 |
7.3% | -14.5% | 0.96 | 0.50 | 14.4x | 86 | 13% |
| ADX / DI 방향성 period=28, threshold=29 |
6.5% | -16.5% | 0.78 | 0.40 | 11.2x | 88 | 20% |
| Supertrend period=16, mult=3.1 |
9.9% | -74.9% | 0.61 | 0.13 | 36.9x | 242 | 55% |
| Donchian 채널 돌파 entryN=21, exitN=24 |
7.4% | -77.9% | 0.50 | 0.10 | 15.4x | 191 | 54% |
| EMA 크로스오버 fast=53, slow=193 |
6.1% | -50.3% | 0.42 | 0.12 | 9.4x | 54 | 59% |
| Parabolic SAR step=0.005, maxStep=0.36 |
5.7% | -84.3% | 0.39 | 0.07 | 8.2x | 267 | 53% |
| SMA 크로스오버 fast=57, slow=187 |
4.5% | -44.8% | 0.34 | 0.10 | 5.4x | 66 | 57% |
| MACD fast=16, slow=50, signal=17 |
1.8% | -94.4% | 0.19 | 0.02 | 1.9x | 395 | 49% |
| ROC 모멘텀 n=125, threshold=0.04 |
0.4% | -88.4% | 0.10 | 0.00 | 1.2x | 322 | 46% |
| Buy and hold | 7.8% | -62.2% | 0.42 | 0.13 | 17.7x | 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 11-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average