Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Workspace Group PLC backtest
10 trend-following strategies were compared on the full daily history of Workspace Group PLC. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.8%, MDD -28.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.5%, drawdown -97.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.4%, MDD -36.9%, Sharpe 0.76, 53% exposure.
CAGR reference leader: Supertrend — CAGR 14.3%, MDD -43.4%, exposure 57%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.9%p higher than buy and hold, while drawdown improves by 60.6%p (CAGR 5.8%, MDD -28.8%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=117, exitN=82 |
13.4% | -36.9% | 0.76 | 0.36 | 61.4x | 28 | 53% |
| Supertrend period=10, mult=5 |
14.3% | -43.4% | 0.75 | 0.33 | 78.3x | 72 | 57% |
| EMA 크로스오버 fast=6, slow=163 |
11.3% | -56.6% | 0.70 | 0.20 | 33.5x | 64 | 56% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=28, mult=2 |
9.7% | -41.0% | 0.64 | 0.24 | 20.9x | 96 | 46% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
6.4% | -29.3% | 0.63 | 0.22 | 7.6x | 32 | 21% |
| ADX / DI 방향성 period=50, threshold=17 |
5.8% | -28.8% | 0.61 | 0.20 | 6.4x | 58 | 27% |
| ROC 모멘텀 n=85, threshold=0.01 |
10.6% | -47.8% | 0.60 | 0.22 | 27.0x | 231 | 56% |
| SMA 크로스오버 fast=55, slow=107 |
11.1% | -60.3% | 0.59 | 0.18 | 31.5x | 51 | 57% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.7% | -85.6% | 0.14 | 0.01 | 1.3x | 255 | 53% |
| MACD fast=23, slow=53, signal=29 |
-1.7% | -84.1% | 0.02 | -0.02 | 0.6x | 257 | 51% |
| Buy and hold | 1.5% | -97.5% | 0.20 | 0.02 | 1.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 117 days
- Sell — Sell when price breaks below the lowest low of the last 82 days