Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Forterra Plc backtest
10 trend-following strategies were compared on the full daily history of Forterra Plc. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.5%, MDD -10.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.1%, drawdown -66.7%).
Sharpe leader (same as main): Supertrend — CAGR 9.5%, MDD -40.3%, Sharpe 0.49, 56% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.6%p higher than buy and hold, while drawdown improves by 26.4%p (CAGR 1.5%, MDD -10.0%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=18, mult=3.9 |
9.5% | -40.3% | 0.49 | 0.23 | 2.6x | 19 | 56% |
| Donchian 채널 돌파 entryN=32, exitN=54 |
7.4% | -51.6% | 0.41 | 0.14 | 2.1x | 19 | 62% |
| ROC 모멘텀 n=45, threshold=-0.08 |
6.0% | -55.2% | 0.35 | 0.11 | 1.8x | 87 | 72% |
| ADX / DI 방향성 period=39, threshold=18 |
2.8% | -28.7% | 0.31 | 0.10 | 1.3x | 12 | 10% |
| SMA 크로스오버 fast=23, slow=53 |
4.6% | -44.7% | 0.31 | 0.10 | 1.6x | 50 | 51% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
1.5% | -10.0% | 0.28 | 0.15 | 1.2x | 7 | 5% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=34, mult=3 |
2.7% | -19.2% | 0.26 | 0.14 | 1.3x | 19 | 20% |
| MACD fast=6, slow=45, signal=9 |
2.4% | -43.9% | 0.22 | 0.05 | 1.3x | 217 | 49% |
| EMA 크로스오버 fast=13, slow=78 |
0.7% | -59.2% | 0.14 | 0.01 | 1.1x | 43 | 51% |
| Parabolic SAR step=0.015, maxStep=0.06 |
-0.9% | -42.7% | 0.07 | -0.02 | 0.9x | 171 | 50% |
| Buy and hold | -1.1% | -66.7% | 0.15 | -0.02 | 0.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 18-day volatility, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)