Trend-Following Backtester · Guide · backtest 한국어
equity · GB
RWS Holdings plc backtest
10 trend-following strategies were compared on the full daily history of RWS Holdings plc. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.2%, MDD -35.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.2%, drawdown -99.4%).
Sharpe leader (same as main): Supertrend — CAGR 13.8%, MDD -58.4%, Sharpe 0.36, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 19.1%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 6.2%, MDD -35.1%, exposure 7%).
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=37, mult=5 |
13.8% | -58.4% | 0.36 | 0.24 | 30.3x | 63 | 55% |
| SMA 크로스오버 fast=7, slow=197 |
7.5% | -71.8% | 0.35 | 0.10 | 6.7x | 55 | 56% |
| 볼린저 밴드 돌파 n=16, k=3.3 |
6.2% | -35.1% | 0.32 | 0.18 | 4.8x | 44 | 7% |
| EMA 크로스오버 fast=40, slow=205 |
4.9% | -61.7% | 0.32 | 0.08 | 3.5x | 25 | 57% |
| ROC 모멘텀 n=146, threshold=-0.09 |
5.2% | -69.9% | 0.29 | 0.07 | 3.8x | 129 | 66% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=27, mult=3 |
8.5% | -39.6% | 0.26 | 0.21 | 8.5x | 39 | 8% |
| Donchian 채널 돌파 entryN=67, exitN=78 |
6.1% | -84.2% | 0.26 | 0.07 | 4.7x | 39 | 61% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-2.7% | -96.0% | 0.13 | -0.03 | 0.5x | 529 | 48% |
| ADX / DI 방향성 period=31, threshold=35 |
0.9% | -50.6% | 0.12 | 0.02 | 1.3x | 12 | 2% |
| MACD fast=9, slow=38, signal=5 |
-6.0% | -97.4% | 0.09 | -0.06 | 0.2x | 596 | 50% |
| Buy and hold | -5.2% | -99.4% | 0.16 | -0.05 | 0.2x | 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) — 37-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)