Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Travis Perkins plc backtest
10 trend-following strategies were compared on the full daily history of Travis Perkins plc. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.3%, MDD -13.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.3%, drawdown -89.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.3%, MDD -13.4%, Sharpe 0.72, 14% exposure.
CAGR reference leader: Supertrend — CAGR 8.9%, MDD -56.5%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 76.0%p (CAGR 5.3%, MDD -13.4%, exposure 14%).
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=13, atrPeriod=25, mult=4 |
5.3% | -13.4% | 0.72 | 0.39 | 7.2x | 123 | 14% |
| Supertrend period=18, mult=5 |
8.9% | -56.5% | 0.50 | 0.16 | 26.0x | 209 | 53% |
| Donchian 채널 돌파 entryN=17, exitN=27 |
7.7% | -52.9% | 0.45 | 0.15 | 17.2x | 235 | 61% |
| ADX / DI 방향성 period=25, threshold=19 |
4.7% | -45.5% | 0.40 | 0.10 | 5.7x | 224 | 31% |
| SMA 크로스오버 fast=5, slow=140 |
5.0% | -71.3% | 0.35 | 0.07 | 6.3x | 147 | 54% |
| ROC 모멘텀 n=117, threshold=-0.01 |
4.0% | -63.4% | 0.30 | 0.06 | 4.5x | 265 | 56% |
| 볼린저 밴드 돌파 n=31, k=1.2 |
3.8% | -80.0% | 0.30 | 0.05 | 4.1x | 343 | 42% |
| EMA 크로스오버 fast=23, slow=119 |
3.6% | -67.0% | 0.28 | 0.05 | 3.8x | 101 | 55% |
| MACD fast=14, slow=43, signal=17 |
0.9% | -89.3% | 0.15 | 0.01 | 1.4x | 473 | 50% |
| Parabolic SAR step=0.015, maxStep=0.18 |
0.4% | -94.6% | 0.12 | 0.00 | 1.1x | 607 | 52% |
| Buy and hold | 3.3% | -89.5% | 0.26 | 0.04 | 3.4x | 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 13-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average