Trend-Following Backtester · Guide · backtest 한국어
equity · US
Signet Jewelers Limited backtest
10 trend-following strategies were compared on the full daily history of Signet Jewelers Limited. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.3%, MDD -49.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.0%, drawdown -97.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.6%, MDD -71.8%, Sharpe 0.38, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 25.7%p (CAGR 5.3%, MDD -49.1%, exposure 22%).
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=84, exitN=73 |
7.6% | -71.8% | 0.38 | 0.11 | 16.3x | 60 | 50% |
| SMA 크로스오버 fast=13, slow=131 |
5.9% | -77.8% | 0.35 | 0.08 | 8.9x | 119 | 53% |
| EMA 크로스오버 fast=18, slow=143 |
5.9% | -77.3% | 0.34 | 0.08 | 8.8x | 91 | 54% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=13, mult=3.9 |
5.3% | -49.1% | 0.34 | 0.11 | 7.1x | 92 | 22% |
| ADX / DI 방향성 period=37, threshold=17 |
2.7% | -86.4% | 0.27 | 0.03 | 2.8x | 98 | 29% |
| 볼린저 밴드 돌파 n=55, k=2.9 |
3.2% | -66.1% | 0.25 | 0.05 | 3.4x | 64 | 18% |
| Supertrend period=12, mult=4.4 |
-1.9% | -92.2% | 0.21 | -0.02 | 0.5x | 213 | 55% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-3.8% | -87.5% | 0.14 | -0.04 | 0.2x | 289 | 52% |
| ROC 모멘텀 n=78, threshold=0.1 |
-1.8% | -87.3% | 0.14 | -0.02 | 0.5x | 482 | 35% |
| MACD fast=17, slow=87, signal=28 |
-14.8% | -100.0% | -0.01 | -0.15 | 0.0x | 347 | 53% |
| Buy and hold | 0.0% | -97.5% | 0.36 | 0.00 | 1.0x | 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 84 days
- Sell — Sell when price breaks below the lowest low of the last 73 days