Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Concurrent Technologies Plc backtest
10 trend-following strategies were compared on the full daily history of Concurrent Technologies Plc. 2 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 16.5%, MDD -48.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.4%, drawdown -84.4%).
Sharpe leader (same as main): Parabolic SAR — CAGR 16.5%, MDD -48.5%, Sharpe 0.64, 46% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 35.9%p (CAGR 16.5%, MDD -48.5%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.025, maxStep=0.14 |
16.5% | -48.5% | 0.64 | 0.34 | 100.0x | 530 | 46% |
| MACD fast=4, slow=39, signal=8 |
11.3% | -74.7% | 0.49 | 0.15 | 25.4x | 681 | 48% |
| 볼린저 밴드 돌파 n=13, k=2.5 |
7.9% | -43.5% | 0.44 | 0.18 | 10.0x | 248 | 21% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=24, mult=0.5 |
7.4% | -53.2% | 0.39 | 0.14 | 8.6x | 481 | 33% |
| ADX / DI 방향성 period=24, threshold=39 |
4.9% | -41.7% | 0.36 | 0.12 | 4.3x | 24 | 4% |
| SMA 크로스오버 fast=44, slow=180 |
6.8% | -64.3% | 0.36 | 0.11 | 7.3x | 51 | 51% |
| ROC 모멘텀 n=5, threshold=0.03 |
4.3% | -49.5% | 0.29 | 0.09 | 3.6x | 785 | 21% |
| Supertrend period=14, mult=2.3 |
3.9% | -83.6% | 0.27 | 0.05 | 3.2x | 261 | 48% |
| Donchian 채널 돌파 entryN=33, exitN=58 |
3.4% | -79.6% | 0.26 | 0.04 | 2.8x | 76 | 69% |
| EMA 크로스오버 fast=59, slow=181 |
0.7% | -90.6% | 0.18 | 0.01 | 1.2x | 49 | 53% |
| Buy and hold | 9.4% | -84.4% | 0.41 | 0.11 | 14.9x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots