Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Costain Group PLC backtest
10 trend-following strategies were compared on the full daily history of Costain Group PLC. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.0%, MDD -16.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.2%, drawdown -99.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.0%, MDD -27.5%, Sharpe 0.39, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.4%, MDD -69.6%, exposure 44%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.3%p higher than buy and hold, while drawdown improves by 72.4%p (CAGR 2.0%, MDD -16.6%, exposure 1%).
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=3, atrPeriod=12, mult=2.3 |
4.0% | -27.5% | 0.39 | 0.15 | 4.5x | 80 | 3% |
| SMA 크로스오버 fast=32, slow=281 |
5.4% | -69.6% | 0.34 | 0.08 | 7.5x | 39 | 44% |
| EMA 크로스오버 fast=56, slow=213 |
4.3% | -77.2% | 0.30 | 0.06 | 4.9x | 29 | 42% |
| 볼린저 밴드 돌파 n=12, k=3.3 |
2.0% | -16.6% | 0.29 | 0.12 | 2.1x | 10 | 1% |
| ADX / DI 방향성 period=9, threshold=39 |
0.7% | -66.3% | 0.12 | 0.01 | 1.3x | 226 | 12% |
| Donchian 채널 돌파 entryN=15, exitN=12 |
-1.6% | -89.2% | 0.09 | -0.02 | 0.5x | 381 | 46% |
| Supertrend period=11, mult=3.7 |
-2.1% | -89.2% | 0.07 | -0.02 | 0.5x | 323 | 51% |
| MACD fast=18, slow=38, signal=18 |
-3.1% | -91.1% | 0.06 | -0.03 | 0.3x | 410 | 52% |
| Parabolic SAR step=0.03, maxStep=0.14 |
-4.6% | -97.5% | 0.01 | -0.05 | 0.2x | 768 | 47% |
| ROC 모멘텀 n=118, threshold=-0.03 |
-5.0% | -96.9% | -0.03 | -0.05 | 0.1x | 341 | 54% |
| Buy and hold | -11.2% | -99.9% | -0.02 | -0.11 | 0.0x | 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 3-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 3-day average