Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Autotrader Group PLC backtest
10 trend-following strategies were compared on the full daily history of Autotrader Group PLC. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -53.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.0%, MDD -9.8%, Sharpe 0.39, 9% exposure.
CAGR reference leader: Supertrend — CAGR 3.1%, MDD -40.9%, exposure 55%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=35, k=3.2 |
2.0% | -9.8% | 0.39 | 0.20 | 1.3x | 12 | 9% |
| ADX / DI 방향성 period=18, threshold=38 |
1.1% | -10.4% | 0.26 | 0.10 | 1.1x | 6 | 3% |
| Supertrend period=20, mult=2.9 |
3.1% | -40.9% | 0.25 | 0.07 | 1.4x | 73 | 55% |
| Donchian 채널 돌파 entryN=9, exitN=18 |
2.8% | -47.2% | 0.23 | 0.06 | 1.4x | 87 | 70% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=19, mult=2.1 |
0.7% | -5.7% | 0.19 | 0.12 | 1.1x | 12 | 3% |
| ROC 모멘텀 n=21, threshold=0.12 |
0.5% | -20.6% | 0.11 | 0.03 | 1.1x | 80 | 7% |
| EMA 크로스오버 fast=61, slow=165 |
-0.0% | -40.1% | 0.11 | -0.00 | 1.0x | 16 | 67% |
| SMA 크로스오버 fast=9, slow=24 |
-0.2% | -45.0% | 0.09 | -0.00 | 1.0x | 131 | 54% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.0% | -52.5% | -0.01 | -0.04 | 0.8x | 101 | 53% |
| MACD fast=19, slow=64, signal=18 |
-2.0% | -44.7% | -0.01 | -0.04 | 0.8x | 113 | 49% |
| Buy and hold | 6.5% | -53.0% | 0.36 | 0.12 | 2.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 35-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 35-day middle average