Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Rightmove plc backtest
10 trend-following strategies were compared on the full daily history of Rightmove plc. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.7%, MDD -54.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.3%, drawdown -74.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.4%, MDD -32.0%, Sharpe 0.65, 23% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.4%, MDD -62.7%, exposure 84%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.9%p lower than buy and hold, while drawdown improves by 42.7%p (CAGR 11.7%, MDD -54.4%, exposure 65%).
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=77, k=2.8 |
9.4% | -32.0% | 0.65 | 0.29 | 6.3x | 25 | 23% |
| Donchian 채널 돌파 entryN=9, exitN=59 |
15.4% | -62.7% | 0.63 | 0.25 | 18.6x | 61 | 84% |
| SMA 크로스오버 fast=54, slow=183 |
11.7% | -54.4% | 0.56 | 0.22 | 9.6x | 29 | 65% |
| EMA 크로스오버 fast=65, slow=157 |
10.7% | -60.2% | 0.52 | 0.18 | 8.0x | 28 | 65% |
| ROC 모멘텀 n=130, threshold=0.04 |
7.6% | -69.1% | 0.44 | 0.11 | 4.5x | 169 | 57% |
| ADX / DI 방향성 period=29, threshold=22 |
4.1% | -24.6% | 0.40 | 0.17 | 2.3x | 38 | 14% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=15, mult=3.7 |
4.4% | -49.4% | 0.35 | 0.09 | 2.4x | 48 | 26% |
| Supertrend period=21, mult=2.6 |
5.1% | -69.9% | 0.33 | 0.07 | 2.8x | 163 | 58% |
| MACD fast=10, slow=44, signal=14 |
4.4% | -65.4% | 0.30 | 0.07 | 2.4x | 309 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-0.1% | -66.7% | 0.12 | -0.00 | 1.0x | 361 | 55% |
| Buy and hold | 13.3% | -74.7% | 0.54 | 0.18 | 12.9x | 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 77-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 77-day middle average