Trend-Following Backtester · Guide · backtest 한국어
equity · GB
4imprint Group plc backtest
10 trend-following strategies were compared on the full daily history of 4imprint Group plc. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.9%, MDD -38.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.5%, drawdown -95.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.9%, MDD -38.4%, Sharpe 0.70, 16% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.1%, MDD -67.4%, exposure 77%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 57.5%p (CAGR 8.9%, MDD -38.4%, exposure 16%).
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=6, atrPeriod=27, mult=2.1 |
8.9% | -38.4% | 0.70 | 0.23 | 25.8x | 214 | 16% |
| Supertrend period=13, mult=2.6 |
15.4% | -68.2% | 0.68 | 0.23 | 233.4x | 341 | 52% |
| ROC 모멘텀 n=130, threshold=-0.08 |
16.4% | -55.6% | 0.66 | 0.30 | 329.9x | 139 | 72% |
| Donchian 채널 돌파 entryN=12, exitN=49 |
17.1% | -67.4% | 0.65 | 0.25 | 411.0x | 147 | 77% |
| Parabolic SAR step=0.01, maxStep=0.36 |
13.3% | -53.6% | 0.61 | 0.25 | 117.7x | 402 | 49% |
| ADX / DI 방향성 period=16, threshold=36 |
7.6% | -45.7% | 0.59 | 0.17 | 16.2x | 132 | 20% |
| EMA 크로스오버 fast=18, slow=145 |
12.5% | -56.8% | 0.56 | 0.22 | 88.2x | 71 | 61% |
| SMA 크로스오버 fast=58, slow=261 |
10.7% | -62.3% | 0.53 | 0.17 | 49.1x | 37 | 62% |
| 볼린저 밴드 돌파 n=21, k=2.7 |
7.8% | -53.8% | 0.50 | 0.14 | 17.5x | 226 | 25% |
| MACD fast=20, slow=54, signal=9 |
5.4% | -79.6% | 0.32 | 0.07 | 7.3x | 484 | 47% |
| Buy and hold | 7.5% | -95.8% | 0.37 | 0.08 | 15.6x | 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 6-day average + 2.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 6-day average