Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Shaftesbury Capital PLC backtest
10 trend-following strategies were compared on the full daily history of Shaftesbury Capital PLC. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.9%, MDD -9.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -10.6%, drawdown -91.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.9%, MDD -9.8%, Sharpe 0.52, 3% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.5%p higher than buy and hold, while drawdown improves by 82.0%p (CAGR 1.9%, MDD -9.8%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=22, k=3.3 |
1.9% | -9.8% | 0.52 | 0.20 | 1.4x | 8 | 3% |
| ADX / DI 방향성 period=44, threshold=31 |
1.3% | -14.9% | 0.44 | 0.09 | 1.3x | 2 | 1% |
| Donchian 채널 돌파 entryN=101, exitN=58 |
1.0% | -49.0% | 0.14 | 0.02 | 1.2x | 24 | 41% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=22, mult=3.3 |
0.1% | -25.5% | 0.06 | 0.01 | 1.0x | 36 | 10% |
| ROC 모멘텀 n=116, threshold=0.04 |
-1.2% | -63.1% | 0.00 | -0.02 | 0.8x | 174 | 41% |
| SMA 크로스오버 fast=16, slow=121 |
-5.1% | -80.8% | -0.02 | -0.06 | 0.4x | 61 | 48% |
| Supertrend period=20, mult=5 |
-6.1% | -81.3% | -0.05 | -0.08 | 0.3x | 44 | 43% |
| EMA 크로스오버 fast=48, slow=51 |
-7.5% | -82.4% | -0.13 | -0.09 | 0.2x | 59 | 48% |
| MACD fast=19, slow=56, signal=15 |
-8.7% | -83.9% | -0.29 | -0.10 | 0.2x | 203 | 53% |
| Parabolic SAR step=0.025, maxStep=0.34 |
-12.4% | -92.0% | -0.47 | -0.14 | 0.1x | 493 | 49% |
| Buy and hold | -10.6% | -91.8% | -0.08 | -0.12 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 22-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 22-day middle average