Trend-Following Backtester · Guide · backtest 한국어
equity · GB
ZIGUP PLC backtest
10 trend-following strategies were compared on the full daily history of ZIGUP 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 7.9%, MDD -14.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.5%, drawdown -96.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.9%, MDD -14.8%, Sharpe 1.01, 10% exposure.
CAGR reference leader: Supertrend — CAGR 19.1%, MDD -63.5%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 81.1%p (CAGR 7.9%, MDD -14.8%, exposure 10%).
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=8, atrPeriod=13, mult=3.6 |
7.9% | -14.8% | 1.01 | 0.53 | 18.0x | 116 | 10% |
| Supertrend period=17, mult=2.3 |
19.1% | -63.5% | 0.94 | 0.30 | 773.9x | 375 | 50% |
| 볼린저 밴드 돌파 n=22, k=1.8 |
11.8% | -66.6% | 0.78 | 0.18 | 69.4x | 318 | 36% |
| ADX / DI 방향성 period=17, threshold=30 |
8.8% | -38.6% | 0.76 | 0.23 | 24.5x | 200 | 25% |
| EMA 크로스오버 fast=4, slow=32 |
13.7% | -51.3% | 0.74 | 0.27 | 132.1x | 339 | 52% |
| Donchian 채널 돌파 entryN=18, exitN=5 |
11.8% | -63.8% | 0.72 | 0.19 | 71.1x | 391 | 32% |
| Parabolic SAR step=0.015, maxStep=0.18 |
11.8% | -74.0% | 0.61 | 0.16 | 69.4x | 549 | 51% |
| SMA 크로스오버 fast=5, slow=100 |
8.8% | -66.3% | 0.55 | 0.13 | 25.1x | 153 | 54% |
| MACD fast=9, slow=73, signal=19 |
9.0% | -84.7% | 0.49 | 0.11 | 26.8x | 436 | 48% |
| ROC 모멘텀 n=30, threshold=0.01 |
7.5% | -69.5% | 0.46 | 0.11 | 15.9x | 542 | 48% |
| Buy and hold | 1.5% | -96.0% | 0.20 | 0.02 | 1.7x | 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 8-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 8-day average