Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Standard Chartered PLC backtest
10 trend-following strategies were compared on the full daily history of Standard Chartered PLC. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.7%, MDD -60.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.7%, drawdown -81.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.1%, MDD -75.0%, Sharpe 0.46, 87% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 6.8%p (CAGR 6.7%, MDD -60.7%, exposure 59%).
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=11, exitN=76 |
10.1% | -75.0% | 0.46 | 0.13 | 39.2x | 113 | 87% |
| SMA 크로스오버 fast=27, slow=181 |
6.7% | -60.7% | 0.39 | 0.11 | 11.8x | 69 | 59% |
| EMA 크로스오버 fast=43, slow=127 |
6.0% | -67.2% | 0.36 | 0.09 | 9.2x | 75 | 60% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=21, mult=4 |
4.2% | -68.1% | 0.33 | 0.06 | 4.8x | 104 | 28% |
| ROC 모멘텀 n=110, threshold=-0.02 |
4.4% | -79.0% | 0.30 | 0.06 | 5.2x | 343 | 65% |
| ADX / DI 방향성 period=35, threshold=13 |
3.2% | -77.1% | 0.26 | 0.04 | 3.3x | 227 | 32% |
| 볼린저 밴드 돌파 n=59, k=1.8 |
2.2% | -78.6% | 0.21 | 0.03 | 2.3x | 159 | 40% |
| Supertrend period=24, mult=4.5 |
1.3% | -80.7% | 0.17 | 0.02 | 1.7x | 257 | 53% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.7% | -93.8% | 0.09 | -0.01 | 0.8x | 313 | 54% |
| MACD fast=16, slow=46, signal=19 |
-2.1% | -92.4% | 0.04 | -0.02 | 0.4x | 438 | 51% |
| Buy and hold | 8.7% | -81.9% | 0.41 | 0.11 | 23.9x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 76 days