Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Softcat Plc backtest
10 trend-following strategies were compared on the full daily history of Softcat Plc. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.4%, MDD -34.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.4%, drawdown -52.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.4%, MDD -34.2%, Sharpe 0.75, 66% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.0%p lower than buy and hold, while drawdown improves by 18.0%p (CAGR 16.4%, MDD -34.2%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=55, exitN=62 |
16.4% | -34.2% | 0.75 | 0.48 | 5.2x | 15 | 66% |
| Keltner 채널 돌파 emaPeriod=81, atrPeriod=25, mult=1.8 |
13.7% | -34.0% | 0.74 | 0.40 | 4.0x | 35 | 45% |
| 볼린저 밴드 돌파 n=43, k=3 |
9.5% | -22.5% | 0.72 | 0.42 | 2.7x | 21 | 20% |
| EMA 크로스오버 fast=13, slow=91 |
13.3% | -41.7% | 0.66 | 0.32 | 3.8x | 41 | 58% |
| SMA 크로스오버 fast=18, slow=157 |
13.1% | -41.7% | 0.65 | 0.32 | 3.8x | 29 | 57% |
| Supertrend period=14, mult=5 |
12.6% | -53.5% | 0.63 | 0.24 | 3.6x | 25 | 56% |
| ADX / DI 방향성 period=40, threshold=9 |
11.5% | -33.0% | 0.62 | 0.35 | 3.2x | 79 | 51% |
| ROC 모멘텀 n=67, threshold=0.12 |
7.4% | -48.2% | 0.49 | 0.15 | 2.2x | 115 | 33% |
| MACD fast=22, slow=37, signal=11 |
5.6% | -64.0% | 0.36 | 0.09 | 1.8x | 135 | 48% |
| Parabolic SAR step=0.03, maxStep=0.14 |
1.7% | -58.6% | 0.19 | 0.03 | 1.2x | 287 | 52% |
| Buy and hold | 20.4% | -52.2% | 0.74 | 0.39 | 7.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 55 days
- Sell — Sell when price breaks below the lowest low of the last 62 days