Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Volution Group plc backtest
10 trend-following strategies were compared on the full daily history of Volution Group plc. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.6%, MDD -36.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.7%, drawdown -51.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.2%, MDD -24.2%, Sharpe 0.65, 15% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.6%, MDD -36.7%, exposure 63%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.4%p lower than buy and hold, while drawdown improves by 27.7%p (CAGR 9.6%, MDD -36.7%, exposure 63%).
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=76, atrPeriod=11, mult=3.9 |
8.2% | -24.2% | 0.65 | 0.34 | 2.6x | 8 | 15% |
| ADX / DI 방향성 period=31, threshold=21 |
7.1% | -15.5% | 0.64 | 0.46 | 2.3x | 14 | 12% |
| 볼린저 밴드 돌파 n=73, k=3.1 |
6.2% | -22.8% | 0.49 | 0.27 | 2.1x | 16 | 19% |
| Donchian 채널 돌파 entryN=89, exitN=92 |
9.6% | -36.7% | 0.49 | 0.26 | 3.0x | 12 | 63% |
| SMA 크로스오버 fast=30, slow=142 |
8.3% | -51.9% | 0.44 | 0.16 | 2.6x | 24 | 59% |
| EMA 크로스오버 fast=45, slow=84 |
6.4% | -37.4% | 0.37 | 0.17 | 2.1x | 26 | 60% |
| ROC 모멘텀 n=119, threshold=-0.11 |
6.1% | -54.4% | 0.35 | 0.11 | 2.1x | 65 | 79% |
| Supertrend period=22, mult=3.3 |
2.5% | -50.6% | 0.22 | 0.05 | 1.3x | 54 | 61% |
| MACD fast=12, slow=27, signal=12 |
-3.2% | -55.7% | -0.01 | -0.06 | 0.7x | 205 | 49% |
| Parabolic SAR step=0.03, maxStep=0.24 |
-4.2% | -63.1% | -0.04 | -0.07 | 0.6x | 334 | 54% |
| Buy and hold | 12.7% | -51.9% | 0.51 | 0.24 | 4.2x | 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 76-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 76-day average