Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Rotork plc backtest
10 trend-following strategies were compared on the full daily history of Rotork plc. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.3%, MDD -36.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.9%, drawdown -56.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.2%, MDD -12.1%, Sharpe 1.11, 8% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.5%, MDD -45.7%, exposure 78%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.7%p lower than buy and hold, while drawdown improves by 44.3%p (CAGR 9.3%, MDD -36.1%, exposure 62%).
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=4, atrPeriod=16, mult=2.9 |
6.2% | -12.1% | 1.11 | 0.52 | 9.9x | 109 | 8% |
| 볼린저 밴드 돌파 n=16, k=3.2 |
4.5% | -31.1% | 0.79 | 0.14 | 5.3x | 71 | 9% |
| Supertrend period=14, mult=5 |
9.0% | -46.9% | 0.58 | 0.19 | 27.1x | 209 | 58% |
| SMA 크로스오버 fast=45, slow=87 |
9.3% | -36.1% | 0.57 | 0.26 | 29.1x | 105 | 62% |
| Donchian 채널 돌파 entryN=32, exitN=70 |
9.5% | -45.7% | 0.54 | 0.21 | 32.2x | 83 | 78% |
| ADX / DI 방향성 period=16, threshold=24 |
5.5% | -51.7% | 0.50 | 0.11 | 7.6x | 281 | 32% |
| EMA 크로스오버 fast=46, slow=113 |
7.9% | -39.9% | 0.49 | 0.20 | 17.9x | 73 | 69% |
| ROC 모멘텀 n=110, threshold=-0.04 |
6.9% | -52.5% | 0.44 | 0.13 | 12.6x | 239 | 75% |
| Parabolic SAR step=0.03, maxStep=0.32 |
1.5% | -95.7% | 0.17 | 0.02 | 1.8x | 889 | 54% |
| MACD fast=6, slow=23, signal=19 |
0.2% | -92.3% | 0.10 | 0.00 | 1.1x | 703 | 49% |
| Buy and hold | 11.9% | -56.4% | 0.53 | 0.21 | 72.9x | 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 4-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 4-day average