Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Dr. Martens Plc backtest
10 trend-following strategies were compared on the full daily history of Dr. Martens Plc. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -7.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -27.1%, drawdown -90.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.8%, MDD -22.5%, Sharpe 0.35, 13% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 31.9%p higher than buy and hold, while drawdown improves by 68.2%p (CAGR 1.7%, MDD -7.8%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=41, k=2.7 |
4.8% | -22.5% | 0.35 | 0.21 | 1.3x | 10 | 13% |
| ADX / DI 방향성 period=14, threshold=33 |
1.7% | -7.8% | 0.32 | 0.22 | 1.1x | 8 | 3% |
| EMA 크로스오버 fast=44, slow=180 |
1.7% | -26.4% | 0.21 | 0.07 | 1.1x | 3 | 12% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=8, mult=3 |
0.4% | -11.2% | 0.10 | 0.04 | 1.0x | 2 | 3% |
| ROC 모멘텀 n=149, threshold=0.06 |
-2.8% | -32.0% | -0.05 | -0.09 | 0.9x | 22 | 13% |
| MACD fast=10, slow=14, signal=11 |
-9.5% | -68.6% | -0.06 | -0.14 | 0.6x | 96 | 50% |
| Supertrend period=15, mult=3.2 |
-6.9% | -59.0% | -0.06 | -0.12 | 0.7x | 19 | 42% |
| Donchian 채널 돌파 entryN=32, exitN=10 |
-6.3% | -56.7% | -0.11 | -0.11 | 0.7x | 18 | 24% |
| SMA 크로스오버 fast=44, slow=50 |
-8.7% | -72.5% | -0.17 | -0.12 | 0.6x | 45 | 36% |
| Parabolic SAR step=0.02, maxStep=0.36 |
-16.1% | -83.6% | -0.30 | -0.19 | 0.4x | 134 | 47% |
| Buy and hold | -27.1% | -90.8% | -0.40 | -0.30 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 41-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 41-day middle average