Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Alliance Witan PLC backtest
10 trend-following strategies were compared on the full daily history of Alliance Witan PLC. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.1%, drawdown -66.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.3%, MDD -39.1%, Sharpe 0.41, 79% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.0%, MDD -70.6%, exposure 93%.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=222, threshold=-0.04 |
5.3% | -39.1% | 0.41 | 0.14 | 19.0x | 201 | 79% |
| Donchian 채널 돌파 entryN=8, exitN=104 |
6.0% | -70.6% | 0.38 | 0.09 | 27.6x | 169 | 93% |
| EMA 크로스오버 fast=54, slow=208 |
4.4% | -36.9% | 0.36 | 0.12 | 11.5x | 67 | 73% |
| Supertrend period=11, mult=4.8 |
3.3% | -69.1% | 0.30 | 0.05 | 6.4x | 261 | 62% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=23, mult=2.1 |
2.6% | -46.2% | 0.26 | 0.06 | 4.3x | 296 | 47% |
| SMA 크로스오버 fast=15, slow=215 |
2.7% | -33.5% | 0.26 | 0.08 | 4.5x | 117 | 69% |
| Parabolic SAR step=0.01, maxStep=0.06 |
2.7% | -57.1% | 0.25 | 0.05 | 4.4x | 487 | 61% |
| MACD fast=10, slow=54, signal=17 |
1.4% | -61.3% | 0.16 | 0.02 | 2.2x | 704 | 49% |
| ADX / DI 방향성 period=33, threshold=25 |
1.0% | -51.2% | 0.14 | 0.02 | 1.7x | 118 | 26% |
| 볼린저 밴드 돌파 n=57, k=1.3 |
0.9% | -54.2% | 0.13 | 0.02 | 1.6x | 287 | 50% |
| Buy and hold | 8.1% | -66.2% | 0.46 | 0.12 | 80.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 222-day return is greater than -4%
- Sell — Sell when the 222-day return drops to -4% or below