Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Funding Circle Holdings Plc backtest
10 trend-following strategies were compared on the full daily history of Funding Circle Holdings Plc. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.7%, MDD -23.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -6.3%, drawdown -94.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.2%, MDD -32.1%, Sharpe 0.78, 15% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 22.3%, MDD -37.7%, exposure 40%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 23.4%p higher than buy and hold, while drawdown improves by 62.0%p (CAGR 5.7%, MDD -23.8%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=148, exitN=20 |
17.2% | -32.1% | 0.78 | 0.54 | 3.5x | 9 | 15% |
| EMA 크로스오버 fast=39, slow=216 |
22.3% | -37.7% | 0.78 | 0.59 | 4.8x | 5 | 40% |
| SMA 크로스오버 fast=59, slow=161 |
20.0% | -47.6% | 0.69 | 0.42 | 4.2x | 13 | 42% |
| 볼린저 밴드 돌파 n=39, k=3.5 |
10.8% | -32.4% | 0.59 | 0.33 | 2.2x | 13 | 13% |
| ROC 모멘텀 n=88, threshold=0.1 |
14.0% | -43.0% | 0.57 | 0.33 | 2.8x | 73 | 32% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=31, mult=2.3 |
9.3% | -38.5% | 0.51 | 0.24 | 2.0x | 19 | 8% |
| Supertrend period=21, mult=2.6 |
12.3% | -63.9% | 0.47 | 0.19 | 2.5x | 47 | 41% |
| ADX / DI 방향성 period=27, threshold=29 |
5.7% | -23.8% | 0.43 | 0.24 | 1.5x | 9 | 8% |
| Parabolic SAR step=0.045, maxStep=0.32 |
2.7% | -77.1% | 0.28 | 0.04 | 1.2x | 260 | 49% |
| MACD fast=11, slow=17, signal=17 |
-9.2% | -82.5% | 0.04 | -0.11 | 0.5x | 137 | 53% |
| Buy and hold | -6.3% | -94.1% | 0.26 | -0.07 | 0.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 148 days
- Sell — Sell when price breaks below the lowest low of the last 20 days