Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Babcock International Group PLC backtest
10 trend-following strategies were compared on the full daily history of Babcock International Group PLC. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.1%, MDD -39.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.7%, drawdown -85.2%).
Sharpe leader (same as main): Supertrend — CAGR 7.7%, MDD -65.0%, Sharpe 0.42, 56% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 20.2%p (CAGR 3.1%, MDD -39.2%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=3.6 |
7.7% | -65.0% | 0.42 | 0.12 | 15.4x | 279 | 56% |
| Donchian 채널 돌파 entryN=14, exitN=37 |
7.0% | -67.8% | 0.38 | 0.10 | 12.1x | 177 | 70% |
| Parabolic SAR step=0.015, maxStep=0.12 |
4.7% | -83.3% | 0.31 | 0.06 | 5.4x | 540 | 52% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=22, mult=2.5 |
3.1% | -39.2% | 0.30 | 0.08 | 3.1x | 190 | 14% |
| SMA 크로스오버 fast=59, slow=164 |
4.4% | -71.9% | 0.30 | 0.06 | 5.0x | 60 | 55% |
| MACD fast=18, slow=39, signal=19 |
3.1% | -68.6% | 0.24 | 0.04 | 3.1x | 406 | 49% |
| ROC 모멘텀 n=140, threshold=-0.03 |
2.6% | -79.1% | 0.22 | 0.03 | 2.6x | 276 | 58% |
| ADX / DI 방향성 period=33, threshold=6 |
2.4% | -85.2% | 0.21 | 0.03 | 2.4x | 424 | 53% |
| 볼린저 밴드 돌파 n=24, k=1.3 |
1.7% | -90.1% | 0.18 | 0.02 | 1.8x | 410 | 40% |
| EMA 크로스오버 fast=19, slow=58 |
1.3% | -70.2% | 0.17 | 0.02 | 1.6x | 161 | 55% |
| Buy and hold | 3.7% | -85.2% | 0.27 | 0.04 | 3.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 3.6× band
- Sell — Sell when price drops below the trend line (flips down)