Trend-Following Backtester · Guide · backtest 한국어
equity · GB
SThree plc backtest
10 trend-following strategies were compared on the full daily history of SThree plc. 7 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 4.7%, MDD -25.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.1%, drawdown -77.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.7%, MDD -25.7%, Sharpe 0.67, 6% exposure.
CAGR reference leader: Supertrend — CAGR 9.8%, MDD -53.8%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 51.5%p (CAGR 4.7%, MDD -25.7%, exposure 6%).
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=21, k=3.2 |
4.7% | -25.7% | 0.67 | 0.18 | 2.6x | 23 | 6% |
| Supertrend period=9, mult=2.4 |
9.8% | -53.8% | 0.54 | 0.18 | 6.9x | 133 | 50% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=17, mult=2 |
6.0% | -49.7% | 0.42 | 0.12 | 3.4x | 85 | 33% |
| Donchian 채널 돌파 entryN=56, exitN=40 |
5.2% | -63.1% | 0.34 | 0.08 | 2.9x | 53 | 49% |
| SMA 크로스오버 fast=23, slow=80 |
4.3% | -56.7% | 0.30 | 0.08 | 2.4x | 65 | 52% |
| EMA 크로스오버 fast=6, slow=52 |
4.0% | -58.8% | 0.29 | 0.07 | 2.3x | 155 | 52% |
| ADX / DI 방향성 period=28, threshold=16 |
2.3% | -36.1% | 0.22 | 0.06 | 1.6x | 125 | 29% |
| Parabolic SAR step=0.02, maxStep=0.36 |
0.9% | -90.1% | 0.16 | 0.01 | 1.2x | 459 | 51% |
| ROC 모멘텀 n=99, threshold=0.13 |
0.7% | -71.3% | 0.13 | 0.01 | 1.2x | 167 | 31% |
| MACD fast=22, slow=53, signal=22 |
-2.7% | -83.5% | 0.02 | -0.03 | 0.6x | 197 | 51% |
| Buy and hold | 1.1% | -77.2% | 0.21 | 0.01 | 1.2x | 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 21-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 21-day middle average