Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Avingtrans plc backtest
10 trend-following strategies were compared on the full daily history of Avingtrans plc. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.0%, MDD -32.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.8%, drawdown -89.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.9%, MDD -62.9%, Sharpe 0.55, 44% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 26.2%p (CAGR 5.0%, MDD -32.0%, exposure 16%).
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=147, threshold=0.05 |
9.9% | -62.9% | 0.55 | 0.16 | 36.6x | 181 | 44% |
| EMA 크로스오버 fast=24, slow=169 |
9.8% | -57.4% | 0.53 | 0.17 | 35.5x | 63 | 52% |
| SMA 크로스오버 fast=25, slow=205 |
9.3% | -58.5% | 0.50 | 0.16 | 29.1x | 63 | 50% |
| Parabolic SAR step=0.015, maxStep=0.1 |
9.0% | -48.1% | 0.50 | 0.19 | 26.5x | 411 | 46% |
| Supertrend period=9, mult=4.9 |
8.8% | -60.2% | 0.46 | 0.15 | 24.5x | 193 | 57% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
5.0% | -32.0% | 0.45 | 0.16 | 6.4x | 104 | 16% |
| Donchian 채널 돌파 entryN=99, exitN=24 |
6.1% | -45.3% | 0.44 | 0.13 | 9.5x | 91 | 31% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=13, mult=3.8 |
5.4% | -42.8% | 0.43 | 0.13 | 7.3x | 116 | 20% |
| ADX / DI 방향성 period=34, threshold=14 |
4.0% | -59.3% | 0.30 | 0.07 | 4.4x | 237 | 35% |
| MACD fast=18, slow=22, signal=10 |
1.5% | -77.7% | 0.17 | 0.02 | 1.7x | 549 | 50% |
| Buy and hold | 4.8% | -89.1% | 0.30 | 0.05 | 5.9x | 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 147-day return is greater than 5%
- Sell — Sell when the 147-day return drops to 5% or below