Trend-Following Backtester · Guide · backtest 한국어

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Ceres Power Holdings plc backtest

10 trend-following strategies were compared on the full daily history of Ceres Power Holdings plc. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.2%, MDD -49.6%).

Data 2004-11-25 ~ 2026-07-31daily bars 5,487 (21.7 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -6.0%, drawdown -99.7%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.9%, MDD -65.2%, Sharpe 0.72, 24% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 28.9%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 8.2%, MDD -49.6%, exposure 15%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=33, k=2.5
22.9%-65.2%0.720.3587.4x8224%
Keltner 채널 돌파
emaPeriod=37, atrPeriod=20, mult=2
15.6%-74.9%0.560.2123.0x9828%
Parabolic SAR
step=0.01, maxStep=0.44
16.0%-85.2%0.530.1925.0x25050%
ADX / DI 방향성
period=19, threshold=13
15.4%-88.1%0.530.1722.3x29045%
MACD
fast=10, slow=21, signal=18
14.9%-95.9%0.510.1620.2x33651%
Supertrend
period=22, mult=2.5
12.9%-91.6%0.480.1413.9x15846%
ROC 모멘텀
n=131, threshold=0.1
10.2%-75.7%0.440.148.3x13039%
Donchian 채널 돌파
entryN=104, exitN=9
8.2%-49.6%0.430.175.5x5215%
EMA 크로스오버
fast=26, slow=86
7.0%-90.9%0.410.084.4x5447%
SMA 크로스오버
fast=12, slow=135
6.0%-92.4%0.390.073.6x6846%
Buy and hold-6.0%-99.7%0.32-0.060.3x1100%
0.01 0.1 1x 10x 100x 2005 2008 2011 2014 2017 2020 2023 2026 볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -25% -50% -75% -100% 2005 2008 2011 2014 2017 2020 2023 2026 Buy and hold볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -65.2% (2021-01-26 → 2025-05-23), recovered after 1,723 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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