Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Admiral Group plc backtest
10 trend-following strategies were compared on the full daily history of Admiral Group plc. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.8%, drawdown -55.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.4%, MDD -46.4%, Sharpe 0.51, 85% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=14, exitN=72 |
10.4% | -46.4% | 0.51 | 0.23 | 8.8x | 53 | 85% |
| ROC 모멘텀 n=121, threshold=-0.11 |
8.8% | -59.9% | 0.46 | 0.15 | 6.4x | 93 | 86% |
| EMA 크로스오버 fast=41, slow=100 |
7.8% | -39.4% | 0.45 | 0.20 | 5.2x | 43 | 67% |
| SMA 크로스오버 fast=22, slow=202 |
7.4% | -46.4% | 0.43 | 0.16 | 4.7x | 37 | 66% |
| ADX / DI 방향성 period=19, threshold=36 |
1.5% | -17.2% | 0.33 | 0.09 | 1.4x | 14 | 4% |
| 볼린저 밴드 돌파 n=56, k=1.6 |
3.4% | -50.6% | 0.28 | 0.07 | 2.1x | 119 | 46% |
| Supertrend period=19, mult=5 |
2.5% | -65.1% | 0.23 | 0.04 | 1.7x | 73 | 60% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=14, mult=3.8 |
0.3% | -64.6% | 0.09 | 0.01 | 1.1x | 59 | 27% |
| MACD fast=21, slow=23, signal=24 |
-1.0% | -70.5% | 0.06 | -0.01 | 0.8x | 255 | 52% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-2.2% | -84.0% | -0.00 | -0.03 | 0.6x | 195 | 56% |
| Buy and hold | 12.8% | -55.1% | 0.56 | 0.23 | 14.0x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 72 days