Trend-Following Backtester · Guide · backtest 한국어
equity · GB
A.G. BARR p.l.c. backtest
10 trend-following strategies were compared on the full daily history of A.G. BARR p.l.c.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 6.9%, MDD -45.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -61.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.6%, MDD -21.3%, Sharpe 0.68, 21% exposure.
CAGR reference leader: Supertrend — CAGR 6.9%, MDD -45.2%, exposure 58%.
Return/drawdown alternative: Supertrend — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 40.5%p (CAGR 6.9%, MDD -45.2%, exposure 58%).
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=41, atrPeriod=11, mult=4 |
4.6% | -21.3% | 0.68 | 0.21 | 5.5x | 88 | 21% |
| Supertrend period=29, mult=4.7 |
6.9% | -45.2% | 0.48 | 0.15 | 12.5x | 172 | 58% |
| ADX / DI 방향성 period=23, threshold=20 |
4.2% | -30.9% | 0.40 | 0.14 | 4.8x | 246 | 36% |
| Donchian 채널 돌파 entryN=13, exitN=32 |
5.4% | -59.8% | 0.38 | 0.09 | 7.3x | 229 | 69% |
| SMA 크로스오버 fast=37, slow=146 |
4.6% | -48.4% | 0.35 | 0.09 | 5.5x | 66 | 57% |
| 볼린저 밴드 돌파 n=45, k=3.1 |
2.7% | -36.7% | 0.33 | 0.07 | 2.7x | 92 | 20% |
| EMA 크로스오버 fast=35, slow=65 |
4.0% | -50.3% | 0.32 | 0.08 | 4.5x | 107 | 57% |
| ROC 모멘텀 n=116, threshold=-0.02 |
1.9% | -71.9% | 0.19 | 0.03 | 2.0x | 271 | 64% |
| Parabolic SAR step=0.01, maxStep=0.36 |
0.9% | -84.8% | 0.13 | 0.01 | 1.4x | 415 | 53% |
| MACD fast=13, slow=53, signal=18 |
-0.4% | -85.6% | 0.05 | -0.00 | 0.9x | 441 | 49% |
| Buy and hold | 7.9% | -61.8% | 0.44 | 0.13 | 17.8x | 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 41-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 41-day average