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 0.8%, MDD -4.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.2%, drawdown -66.7%).
Sharpe leader (same as main): Supertrend — CAGR 9.0%, MDD -34.7%, Sharpe 0.48, 56% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 0.8%, MDD -4.6%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=16, mult=4 |
9.0% | -34.7% | 0.48 | 0.26 | 2.4x | 18 | 56% |
| Donchian 채널 돌파 entryN=53, exitN=41 |
5.4% | -39.6% | 0.36 | 0.14 | 1.7x | 16 | 50% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=24, mult=3 |
2.5% | -19.9% | 0.25 | 0.13 | 1.3x | 18 | 20% |
| 볼린저 밴드 돌파 n=13, k=3.1 |
0.8% | -4.6% | 0.23 | 0.18 | 1.1x | 10 | 3% |
| ADX / DI 방향성 period=35, threshold=19 |
1.8% | -27.4% | 0.22 | 0.07 | 1.2x | 16 | 10% |
| EMA 크로스오버 fast=15, slow=78 |
1.0% | -55.8% | 0.15 | 0.02 | 1.1x | 38 | 52% |
| MACD fast=9, slow=33, signal=11 |
0.4% | -50.8% | 0.13 | 0.01 | 1.0x | 181 | 49% |
| SMA 크로스오버 fast=15, slow=106 |
0.4% | -47.7% | 0.13 | 0.01 | 1.0x | 34 | 50% |
| ROC 모멘텀 n=67, threshold=0.13 |
0.7% | -37.0% | 0.12 | 0.02 | 1.1x | 86 | 22% |
| Parabolic SAR step=0.015, maxStep=0.06 |
-0.7% | -42.7% | 0.07 | -0.02 | 0.9x | 169 | 50% |
| Buy and hold | -2.2% | -66.7% | 0.12 | -0.03 | 0.8x | 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) — 16-day volatility, 4× band
- Sell — Sell when price drops below the trend line (flips down)