Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Derwent London plc backtest
10 trend-following strategies were compared on the full daily history of Derwent London plc. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.4%, MDD -12.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.5%, drawdown -79.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.0%, MDD -14.0%, Sharpe 1.28, 16% exposure.
CAGR reference leader: Supertrend — CAGR 10.7%, MDD -60.0%, exposure 57%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 65.9%p (CAGR 6.4%, MDD -12.3%, exposure 19%).
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=13, atrPeriod=18, mult=4 |
7.0% | -14.0% | 1.28 | 0.50 | 13.3x | 88 | 16% |
| ADX / DI 방향성 period=29, threshold=32 |
6.4% | -12.3% | 1.10 | 0.52 | 10.6x | 58 | 19% |
| 볼린저 밴드 돌파 n=20, k=3.1 |
4.6% | -23.0% | 0.85 | 0.20 | 5.5x | 74 | 12% |
| Donchian 채널 돌파 entryN=117, exitN=51 |
8.8% | -45.3% | 0.72 | 0.19 | 24.6x | 61 | 48% |
| SMA 크로스오버 fast=10, slow=165 |
9.9% | -59.2% | 0.71 | 0.17 | 36.5x | 73 | 58% |
| Supertrend period=12, mult=4.4 |
10.7% | -60.0% | 0.70 | 0.18 | 47.4x | 189 | 57% |
| EMA 크로스오버 fast=49, slow=86 |
9.6% | -58.3% | 0.69 | 0.16 | 33.0x | 57 | 59% |
| ROC 모멘텀 n=126, threshold=-0.01 |
8.7% | -70.6% | 0.61 | 0.12 | 24.4x | 171 | 61% |
| Parabolic SAR step=0.015, maxStep=0.36 |
3.4% | -94.6% | 0.28 | 0.04 | 3.5x | 573 | 52% |
| MACD fast=26, slow=54, signal=18 |
0.9% | -78.2% | 0.14 | 0.01 | 1.4x | 363 | 48% |
| Buy and hold | 5.5% | -79.8% | 0.34 | 0.07 | 7.6x | 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 13-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average