Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Volex plc backtest
10 trend-following strategies were compared on the full daily history of Volex plc. 10 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 16.6%, MDD -33.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.3%, drawdown -99.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 16.6%, MDD -33.4%, Sharpe 0.93, 29% exposure.
CAGR reference leader: Parabolic SAR — CAGR 20.1%, MDD -76.4%, exposure 52%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.4%p higher than buy and hold, while drawdown improves by 65.9%p (CAGR 16.6%, MDD -33.4%, exposure 29%).
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=41, atrPeriod=13, mult=3.7 |
16.6% | -33.4% | 0.93 | 0.50 | 350.2x | 104 | 29% |
| 볼린저 밴드 돌파 n=20, k=1.7 |
19.1% | -73.4% | 0.84 | 0.26 | 770.7x | 350 | 36% |
| Donchian 채널 돌파 entryN=23, exitN=7 |
18.6% | -69.5% | 0.84 | 0.27 | 653.9x | 316 | 33% |
| Parabolic SAR step=0.015, maxStep=0.14 |
20.1% | -76.4% | 0.78 | 0.26 | 1079.8x | 486 | 52% |
| EMA 크로스오버 fast=10, slow=29 |
19.3% | -77.2% | 0.77 | 0.25 | 817.4x | 250 | 52% |
| ADX / DI 방향성 period=23, threshold=16 |
17.3% | -68.3% | 0.76 | 0.25 | 434.9x | 294 | 43% |
| Supertrend period=19, mult=3.6 |
19.7% | -79.4% | 0.76 | 0.25 | 947.1x | 246 | 56% |
| SMA 크로스오버 fast=11, slow=53 |
14.2% | -84.2% | 0.60 | 0.17 | 155.0x | 184 | 52% |
| ROC 모멘텀 n=71, threshold=0.04 |
12.5% | -76.0% | 0.59 | 0.16 | 89.7x | 294 | 46% |
| MACD fast=22, slow=51, signal=7 |
9.7% | -94.5% | 0.45 | 0.10 | 33.9x | 474 | 52% |
| Buy and hold | 1.3% | -99.2% | 0.24 | 0.01 | 1.6x | 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 41-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 41-day average