Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Burford Capital Limited backtest
10 trend-following strategies were compared on the full daily history of Burford Capital Limited. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.0%, MDD -38.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.3%, drawdown -86.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.8%, MDD -51.3%, Sharpe 0.70, 39% exposure.
CAGR reference leader: Supertrend — CAGR 15.4%, MDD -46.0%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 35.0%p (CAGR 7.0%, MDD -38.3%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=93, exitN=28 |
12.8% | -51.3% | 0.70 | 0.25 | 7.5x | 30 | 39% |
| Supertrend period=34, mult=4.3 |
15.4% | -46.0% | 0.70 | 0.33 | 11.0x | 44 | 53% |
| EMA 크로스오버 fast=20, slow=162 |
15.1% | -39.1% | 0.68 | 0.39 | 10.5x | 30 | 56% |
| SMA 크로스오버 fast=22, slow=127 |
12.7% | -40.8% | 0.61 | 0.31 | 7.4x | 34 | 55% |
| ROC 모멘텀 n=112, threshold=-0.02 |
11.3% | -62.2% | 0.53 | 0.18 | 6.0x | 128 | 61% |
| 볼린저 밴드 돌파 n=57, k=3.5 |
7.0% | -38.3% | 0.52 | 0.18 | 3.1x | 32 | 23% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=10, mult=2.9 |
8.1% | -48.0% | 0.51 | 0.17 | 3.7x | 46 | 31% |
| Parabolic SAR step=0.01, maxStep=0.18 |
8.6% | -70.6% | 0.42 | 0.12 | 4.0x | 200 | 52% |
| ADX / DI 방향성 period=41, threshold=26 |
1.3% | -11.7% | 0.25 | 0.11 | 1.2x | 12 | 5% |
| MACD fast=8, slow=54, signal=16 |
1.1% | -67.4% | 0.18 | 0.02 | 1.2x | 229 | 50% |
| Buy and hold | 6.3% | -86.3% | 0.36 | 0.07 | 2.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 93 days
- Sell — Sell when price breaks below the lowest low of the last 28 days