Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Rockwood Strategic Plc Registered backtest
10 trend-following strategies were compared on the full daily history of Rockwood Strategic Plc Registered. 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 5.5%, MDD -21.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.2%, drawdown -99.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.5%, MDD -21.1%, Sharpe 0.56, 17% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.6%p higher than buy and hold, while drawdown improves by 78.7%p (CAGR 5.5%, MDD -21.1%, exposure 17%).
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=14, k=3.1 |
5.5% | -21.1% | 0.56 | 0.26 | 4.2x | 118 | 17% |
| Keltner 채널 돌파 emaPeriod=5, atrPeriod=15, mult=1.5 |
4.5% | -37.5% | 0.44 | 0.12 | 3.2x | 70 | 8% |
| EMA 크로스오버 fast=3, slow=193 |
4.7% | -47.1% | 0.36 | 0.10 | 3.4x | 73 | 45% |
| ADX / DI 방향성 period=43, threshold=28 |
1.5% | -26.8% | 0.28 | 0.06 | 1.5x | 20 | 8% |
| Supertrend period=20, mult=2.3 |
-1.5% | -95.8% | 0.23 | -0.02 | 0.7x | 133 | 50% |
| SMA 크로스오버 fast=11, slow=184 |
2.5% | -57.8% | 0.23 | 0.04 | 1.9x | 53 | 46% |
| Parabolic SAR step=0.02, maxStep=0.14 |
2.9% | -96.7% | 0.20 | 0.03 | 2.1x | 422 | 47% |
| Donchian 채널 돌파 entryN=18, exitN=12 |
1.5% | -76.9% | 0.18 | 0.02 | 1.5x | 141 | 46% |
| MACD fast=19, slow=52, signal=12 |
-1.4% | -94.3% | 0.18 | -0.01 | 0.7x | 244 | 54% |
| ROC 모멘텀 n=122, threshold=0.13 |
1.5% | -48.2% | 0.17 | 0.03 | 1.5x | 108 | 26% |
| Buy and hold | -13.2% | -99.8% | 0.23 | -0.13 | 0.0x | 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 14-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 14-day middle average