Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Rentokil Initial plc backtest
10 trend-following strategies were compared on the full daily history of Rentokil Initial plc. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.6%, MDD -62.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.7%, drawdown -93.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.5%, MDD -32.7%, Sharpe 0.50, 27% exposure.
CAGR reference leader: Supertrend — CAGR 7.6%, MDD -62.4%, exposure 57%.
Return/drawdown alternative: Supertrend — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 60.7%p (CAGR 7.6%, MDD -62.4%, exposure 57%).
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=55, atrPeriod=19, mult=4 |
5.5% | -32.7% | 0.50 | 0.17 | 7.7x | 90 | 27% |
| Donchian 채널 돌파 entryN=116, exitN=28 |
5.9% | -50.2% | 0.47 | 0.12 | 8.9x | 92 | 33% |
| Supertrend period=8, mult=4.2 |
7.6% | -62.4% | 0.47 | 0.12 | 16.4x | 196 | 57% |
| EMA 크로스오버 fast=55, slow=75 |
6.3% | -61.5% | 0.41 | 0.10 | 10.4x | 90 | 61% |
| SMA 크로스오버 fast=21, slow=166 |
6.0% | -60.4% | 0.39 | 0.10 | 9.2x | 100 | 61% |
| 볼린저 밴드 돌파 n=22, k=3 |
3.3% | -32.7% | 0.39 | 0.10 | 3.5x | 80 | 12% |
| MACD fast=37, slow=116, signal=12 |
5.8% | -72.2% | 0.37 | 0.08 | 8.6x | 286 | 52% |
| ROC 모멘텀 n=118, threshold=0.01 |
4.8% | -72.9% | 0.33 | 0.07 | 5.9x | 302 | 61% |
| ADX / DI 방향성 period=33, threshold=26 |
2.0% | -26.2% | 0.33 | 0.07 | 2.1x | 34 | 9% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.6% | -85.6% | 0.23 | 0.03 | 2.7x | 320 | 57% |
| Buy and hold | 7.7% | -93.4% | 0.39 | 0.08 | 16.6x | 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 55-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 55-day average