Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Card Factory Plc backtest
10 trend-following strategies were compared on the full daily history of Card Factory Plc. 10 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 9.7%, MDD -14.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.6%, drawdown -92.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.7%, MDD -14.6%, Sharpe 0.68, 6% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 78.2%p (CAGR 9.7%, MDD -14.6%, exposure 6%).
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=22, k=3.3 |
9.7% | -14.6% | 0.68 | 0.66 | 3.1x | 10 | 6% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=12, mult=2.5 |
9.2% | -14.6% | 0.65 | 0.63 | 2.9x | 16 | 7% |
| ADX / DI 방향성 period=20, threshold=37 |
3.4% | -25.9% | 0.41 | 0.13 | 1.5x | 6 | 4% |
| MACD fast=7, slow=47, signal=10 |
4.4% | -65.3% | 0.30 | 0.07 | 1.7x | 206 | 52% |
| Donchian 채널 돌파 entryN=101, exitN=6 |
3.6% | -48.7% | 0.28 | 0.07 | 1.5x | 31 | 14% |
| ROC 모멘텀 n=103, threshold=0.14 |
3.3% | -42.5% | 0.25 | 0.08 | 1.5x | 69 | 24% |
| Parabolic SAR step=0.025, maxStep=0.06 |
2.7% | -69.6% | 0.24 | 0.04 | 1.4x | 198 | 50% |
| Supertrend period=8, mult=1.5 |
1.3% | -73.1% | 0.20 | 0.02 | 1.2x | 137 | 50% |
| SMA 크로스오버 fast=70, slow=158 |
-0.1% | -53.7% | 0.14 | -0.00 | 1.0x | 21 | 40% |
| EMA 크로스오버 fast=6, slow=111 |
-1.9% | -64.4% | 0.06 | -0.03 | 0.8x | 59 | 40% |
| Buy and hold | -7.6% | -92.8% | 0.07 | -0.08 | 0.4x | 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 22-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 22-day middle average