Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Aurora UK Alpha plc backtest
10 trend-following strategies were compared on the full daily history of Aurora UK Alpha plc. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.4%, MDD -24.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.8%, drawdown -66.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.1%, MDD -35.3%, Sharpe 0.96, 23% exposure.
CAGR reference leader: Supertrend — CAGR 11.1%, MDD -37.0%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 30.7%p (CAGR 7.4%, MDD -24.7%, exposure 24%).
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=29, atrPeriod=14, mult=3.1 |
8.1% | -35.3% | 0.96 | 0.23 | 33.3x | 124 | 23% |
| Supertrend period=9, mult=4.4 |
11.1% | -37.0% | 0.86 | 0.30 | 111.1x | 203 | 52% |
| 볼린저 밴드 돌파 n=25, k=2.5 |
7.4% | -24.7% | 0.85 | 0.30 | 24.2x | 180 | 24% |
| Parabolic SAR step=0.02, maxStep=0.06 |
7.2% | -66.5% | 0.57 | 0.11 | 22.9x | 541 | 51% |
| EMA 크로스오버 fast=6, slow=35 |
7.0% | -66.7% | 0.56 | 0.11 | 21.3x | 300 | 51% |
| SMA 크로스오버 fast=3, slow=30 |
6.7% | -69.0% | 0.53 | 0.10 | 18.1x | 454 | 49% |
| ADX / DI 방향성 period=18, threshold=17 |
5.1% | -47.3% | 0.49 | 0.11 | 9.4x | 387 | 36% |
| ROC 모멘텀 n=89, threshold=0.21 |
3.6% | -34.5% | 0.46 | 0.10 | 4.9x | 116 | 12% |
| Donchian 채널 돌파 entryN=25, exitN=22 |
10.6% | -47.6% | 0.39 | 0.22 | 90.8x | 182 | 59% |
| MACD fast=13, slow=73, signal=15 |
8.7% | -60.8% | 0.34 | 0.14 | 43.1x | 414 | 53% |
| Buy and hold | 5.8% | -66.0% | 0.27 | 0.09 | 12.6x | 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 29-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 29-day average