Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Savills plc backtest
10 trend-following strategies were compared on the full daily history of Savills plc. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.9%, MDD -48.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.7%, drawdown -83.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.7%, MDD -39.8%, Sharpe 0.50, 26% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.9%, MDD -56.4%, exposure 58%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.0%p lower than buy and hold, while drawdown improves by 43.5%p (CAGR 13.9%, MDD -48.3%, exposure 58%).
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=48, atrPeriod=21, mult=4 |
6.7% | -39.8% | 0.50 | 0.17 | 12.0x | 89 | 26% |
| Supertrend period=22, mult=1.7 |
9.2% | -76.8% | 0.49 | 0.12 | 28.1x | 518 | 55% |
| 볼린저 밴드 돌파 n=44, k=2.6 |
6.3% | -38.7% | 0.46 | 0.16 | 10.4x | 107 | 27% |
| ADX / DI 방향성 period=36, threshold=37 |
2.9% | -21.4% | 0.41 | 0.14 | 3.0x | 16 | 5% |
| ROC 모멘텀 n=97, threshold=0.06 |
6.3% | -74.7% | 0.40 | 0.08 | 10.3x | 325 | 45% |
| Donchian 채널 돌파 entryN=15, exitN=71 |
14.5% | -78.3% | 0.39 | 0.18 | 171.5x | 97 | 81% |
| SMA 크로스오버 fast=40, slow=216 |
14.9% | -56.4% | 0.38 | 0.26 | 200.6x | 55 | 58% |
| EMA 크로스오버 fast=46, slow=202 |
13.9% | -48.3% | 0.37 | 0.29 | 144.7x | 37 | 58% |
| Parabolic SAR step=0.015, maxStep=0.18 |
9.4% | -86.8% | 0.29 | 0.11 | 31.1x | 559 | 50% |
| MACD fast=13, slow=55, signal=14 |
4.1% | -83.0% | 0.21 | 0.05 | 4.6x | 473 | 54% |
| Buy and hold | 11.7% | -83.3% | 0.35 | 0.14 | 68.2x | 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 48-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 48-day average