Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Capita plc backtest
10 trend-following strategies were compared on the full daily history of Capita plc. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.7%, MDD -21.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.6%, drawdown -98.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.7%, MDD -21.9%, Sharpe 0.97, 10% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.9%, MDD -69.0%, exposure 46%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 76.7%p (CAGR 9.7%, MDD -21.9%, exposure 10%).
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=28, mult=1.4 |
9.7% | -21.9% | 0.97 | 0.44 | 31.5x | 202 | 10% |
| Donchian 채널 돌파 entryN=33, exitN=19 |
11.9% | -69.0% | 0.64 | 0.17 | 66.1x | 178 | 46% |
| ADX / DI 방향성 period=69, threshold=14 |
8.9% | -44.3% | 0.61 | 0.20 | 24.2x | 70 | 29% |
| Supertrend period=22, mult=2.3 |
9.9% | -93.3% | 0.50 | 0.11 | 33.6x | 438 | 51% |
| EMA 크로스오버 fast=30, slow=199 |
9.3% | -81.2% | 0.49 | 0.11 | 27.4x | 54 | 59% |
| 볼린저 밴드 돌파 n=49, k=1.5 |
6.2% | -80.3% | 0.39 | 0.08 | 9.6x | 206 | 44% |
| Parabolic SAR step=0.005, maxStep=0.22 |
5.5% | -91.9% | 0.33 | 0.06 | 7.2x | 289 | 53% |
| ROC 모멘텀 n=174, threshold=0.07 |
5.1% | -96.2% | 0.33 | 0.05 | 6.4x | 248 | 52% |
| SMA 크로스오버 fast=15, slow=192 |
5.0% | -90.2% | 0.32 | 0.06 | 6.1x | 90 | 61% |
| MACD fast=14, slow=44, signal=13 |
4.7% | -94.7% | 0.30 | 0.05 | 5.6x | 501 | 50% |
| Buy and hold | 5.6% | -98.6% | 0.34 | 0.06 | 7.5x | 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 + 1.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 3-day average