Trend-Following Backtester · Guide · backtest 한국어
equity · GB
SSE PLC backtest
10 trend-following strategies were compared on the full daily history of SSE PLC. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -42.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.6%, MDD -20.7%, Sharpe 0.36, 17% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.1%, MDD -49.9%, exposure 60%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=37, atrPeriod=16, mult=3.6 |
2.6% | -20.7% | 0.36 | 0.13 | 2.5x | 76 | 17% |
| SMA 크로스오버 fast=44, slow=229 |
4.1% | -49.9% | 0.31 | 0.08 | 4.1x | 49 | 60% |
| ROC 모멘텀 n=86, threshold=-0.12 |
2.3% | -74.0% | 0.21 | 0.03 | 2.2x | 155 | 91% |
| EMA 크로스오버 fast=58, slow=184 |
2.0% | -54.6% | 0.20 | 0.04 | 2.0x | 55 | 62% |
| Supertrend period=20, mult=4.9 |
1.4% | -63.2% | 0.17 | 0.02 | 1.6x | 152 | 53% |
| Donchian 채널 돌파 entryN=61, exitN=21 |
1.1% | -50.9% | 0.15 | 0.02 | 1.5x | 116 | 33% |
| 볼린저 밴드 돌파 n=57, k=3.2 |
0.6% | -25.4% | 0.12 | 0.02 | 1.2x | 30 | 10% |
| ADX / DI 방향성 period=26, threshold=17 |
-0.0% | -58.0% | 0.06 | -0.00 | 1.0x | 204 | 28% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-1.1% | -82.0% | 0.01 | -0.01 | 0.7x | 283 | 55% |
| MACD fast=15, slow=43, signal=19 |
-4.5% | -88.4% | -0.21 | -0.05 | 0.2x | 430 | 51% |
| Buy and hold | 6.7% | -42.9% | 0.39 | 0.16 | 9.7x | 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 37-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 37-day average