Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Barratt Redrow plc backtest
10 trend-following strategies were compared on the full daily history of Barratt Redrow plc. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.9%, MDD -28.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.6%, drawdown -97.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.9%, MDD -28.3%, Sharpe 0.43, 8% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.6%, MDD -84.9%, exposure 81%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 68.6%p (CAGR 3.9%, MDD -28.3%, exposure 8%).
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=36, k=3.5 |
3.9% | -28.3% | 0.43 | 0.14 | 4.3x | 33 | 8% |
| Donchian 채널 돌파 entryN=15, exitN=55 |
9.6% | -84.9% | 0.42 | 0.11 | 33.1x | 129 | 81% |
| EMA 크로스오버 fast=42, slow=80 |
6.9% | -73.8% | 0.39 | 0.09 | 12.7x | 79 | 52% |
| SMA 크로스오버 fast=22, slow=138 |
6.6% | -81.6% | 0.38 | 0.08 | 11.4x | 75 | 52% |
| Supertrend period=15, mult=4.7 |
6.1% | -60.4% | 0.35 | 0.10 | 9.6x | 223 | 55% |
| MACD fast=17, slow=35, signal=23 |
5.8% | -67.0% | 0.32 | 0.09 | 8.4x | 428 | 53% |
| ROC 모멘텀 n=120, threshold=-0.01 |
5.5% | -69.1% | 0.32 | 0.08 | 7.7x | 273 | 57% |
| ADX / DI 방향성 period=21, threshold=22 |
3.4% | -48.8% | 0.28 | 0.07 | 3.6x | 169 | 19% |
| Parabolic SAR step=0.035, maxStep=0.08 |
3.1% | -76.0% | 0.25 | 0.04 | 3.2x | 717 | 52% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=29, mult=3.3 |
1.5% | -65.0% | 0.17 | 0.02 | 1.8x | 157 | 28% |
| Buy and hold | 2.6% | -97.0% | 0.28 | 0.03 | 2.7x | 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 36-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 36-day middle average