Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Renew Holdings plc backtest
10 trend-following strategies were compared on the full daily history of Renew Holdings plc. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.3%, MDD -43.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.8%, drawdown -99.6%).
Sharpe leader (same as main): Supertrend — CAGR 17.8%, MDD -71.8%, Sharpe 0.71, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 19.5%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 10.3%, MDD -43.2%, exposure 19%).
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=16, mult=2.8 |
17.8% | -71.8% | 0.71 | 0.25 | 508.8x | 304 | 51% |
| Parabolic SAR step=0.025, maxStep=0.24 |
14.1% | -69.7% | 0.58 | 0.20 | 152.2x | 694 | 51% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=12, mult=1.7 |
10.3% | -43.2% | 0.56 | 0.24 | 41.8x | 264 | 19% |
| Donchian 채널 돌파 entryN=19, exitN=21 |
10.9% | -57.9% | 0.49 | 0.19 | 52.1x | 231 | 58% |
| 볼린저 밴드 돌파 n=12, k=2.4 |
8.1% | -51.5% | 0.46 | 0.16 | 19.7x | 328 | 21% |
| ROC 모멘텀 n=30, threshold=-0.08 |
7.9% | -71.2% | 0.39 | 0.11 | 18.3x | 381 | 79% |
| ADX / DI 방향성 period=23, threshold=11 |
7.0% | -74.3% | 0.38 | 0.09 | 13.2x | 433 | 48% |
| SMA 크로스오버 fast=9, slow=29 |
7.2% | -66.3% | 0.38 | 0.11 | 14.1x | 379 | 52% |
| MACD fast=19, slow=39, signal=20 |
7.2% | -71.4% | 0.37 | 0.10 | 13.9x | 375 | 51% |
| EMA 크로스오버 fast=20, slow=67 |
5.3% | -75.6% | 0.32 | 0.07 | 7.1x | 149 | 53% |
| Buy and hold | -1.8% | -99.6% | 0.20 | -0.02 | 0.5x | 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) — 16-day volatility, 2.8× band
- Sell — Sell when price drops below the trend line (flips down)