Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Renishaw plc backtest
10 trend-following strategies were compared on the full daily history of Renishaw plc. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.7%, MDD -53.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.5%, drawdown -74.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.4%, MDD -14.9%, Sharpe 0.80, 15% exposure.
CAGR reference leader: Supertrend — CAGR 14.6%, MDD -62.0%, exposure 58%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.1%p lower than buy and hold, while drawdown improves by 60.0%p (CAGR 9.7%, MDD -53.4%, exposure 59%).
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=12, atrPeriod=19, mult=3.4 |
6.4% | -14.9% | 0.80 | 0.43 | 10.5x | 106 | 15% |
| Supertrend period=11, mult=5 |
14.6% | -62.0% | 0.71 | 0.24 | 179.9x | 169 | 58% |
| Donchian 채널 돌파 entryN=21, exitN=15 |
12.4% | -73.5% | 0.66 | 0.17 | 84.6x | 235 | 51% |
| SMA 크로스오버 fast=36, slow=147 |
9.7% | -53.4% | 0.53 | 0.18 | 33.5x | 63 | 59% |
| ROC 모멘텀 n=127, threshold=0.08 |
8.4% | -52.6% | 0.52 | 0.16 | 21.5x | 201 | 45% |
| Parabolic SAR step=0.005, maxStep=0.12 |
9.2% | -85.2% | 0.51 | 0.11 | 28.5x | 273 | 55% |
| EMA 크로스오버 fast=52, slow=100 |
9.1% | -55.1% | 0.51 | 0.17 | 27.9x | 71 | 59% |
| ADX / DI 방향성 period=38, threshold=11 |
8.3% | -56.8% | 0.50 | 0.15 | 20.8x | 259 | 48% |
| 볼린저 밴드 돌파 n=27, k=1.8 |
6.3% | -79.1% | 0.43 | 0.08 | 10.3x | 294 | 38% |
| MACD fast=12, slow=50, signal=14 |
5.4% | -74.0% | 0.34 | 0.07 | 7.3x | 496 | 50% |
| Buy and hold | 11.5% | -74.9% | 0.50 | 0.15 | 63.5x | 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 12-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average