Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Dunelm Group plc backtest
10 trend-following strategies were compared on the full daily history of Dunelm Group plc. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.1%, drawdown -57.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.0%, MDD -26.2%, Sharpe 0.48, 18% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=55, atrPeriod=19, mult=3.6 |
6.0% | -26.2% | 0.48 | 0.23 | 3.1x | 26 | 18% |
| 볼린저 밴드 돌파 n=35, k=3.3 |
3.9% | -30.1% | 0.40 | 0.13 | 2.1x | 26 | 11% |
| MACD fast=36, slow=61, signal=20 |
5.2% | -55.5% | 0.33 | 0.09 | 2.7x | 133 | 51% |
| Donchian 채널 돌파 entryN=117, exitN=14 |
3.4% | -35.1% | 0.30 | 0.10 | 2.0x | 48 | 19% |
| SMA 크로스오버 fast=58, slow=168 |
4.2% | -53.0% | 0.29 | 0.08 | 2.2x | 38 | 51% |
| Supertrend period=28, mult=2.4 |
4.0% | -62.6% | 0.28 | 0.06 | 2.2x | 143 | 53% |
| ADX / DI 방향성 period=35, threshold=15 |
1.4% | -43.1% | 0.16 | 0.03 | 1.3x | 102 | 30% |
| ROC 모멘텀 n=146, threshold=0.01 |
0.4% | -74.6% | 0.14 | 0.01 | 1.1x | 186 | 52% |
| EMA 크로스오버 fast=14, slow=24 |
-0.7% | -78.4% | 0.09 | -0.01 | 0.9x | 171 | 53% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-3.0% | -74.6% | 0.00 | -0.04 | 0.5x | 367 | 51% |
| Buy and hold | 8.1% | -57.0% | 0.40 | 0.14 | 4.7x | 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 55-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 55-day average