Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Trainline Plc backtest
10 trend-following strategies were compared on the full daily history of Trainline Plc. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.4%, MDD -4.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.7%, drawdown -71.2%).
Sharpe leader (same as main): Supertrend — CAGR 9.1%, MDD -47.0%, Sharpe 0.43, 40% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.7%p higher than buy and hold, while drawdown improves by 24.2%p (CAGR 1.4%, MDD -4.9%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=22, mult=2.8 |
9.1% | -47.0% | 0.43 | 0.19 | 1.9x | 28 | 40% |
| ROC 모멘텀 n=3, threshold=0.1 |
5.1% | -15.2% | 0.39 | 0.34 | 1.4x | 60 | 3% |
| 볼린저 밴드 돌파 n=11, k=2.9 |
1.4% | -4.9% | 0.35 | 0.29 | 1.1x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=18, mult=3.4 |
1.5% | -6.9% | 0.33 | 0.22 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=13, exitN=16 |
-1.1% | -58.9% | 0.12 | -0.02 | 0.9x | 42 | 48% |
| MACD fast=7, slow=19, signal=19 |
-6.0% | -73.6% | -0.01 | -0.08 | 0.6x | 134 | 48% |
| SMA 크로스오버 fast=22, slow=66 |
-7.2% | -58.5% | -0.11 | -0.12 | 0.6x | 29 | 43% |
| ADX / DI 방향성 period=18, threshold=17 |
-6.1% | -49.7% | -0.17 | -0.12 | 0.6x | 72 | 28% |
| EMA 크로스오버 fast=20, slow=25 |
-9.0% | -69.2% | -0.20 | -0.13 | 0.5x | 44 | 43% |
| Parabolic SAR step=0.04, maxStep=0.16 |
-16.0% | -83.8% | -0.33 | -0.19 | 0.3x | 254 | 48% |
| Buy and hold | -9.7% | -71.2% | 0.07 | -0.14 | 0.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 22-day volatility, 2.8× band
- Sell — Sell when price drops below the trend line (flips down)