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 9.0%, MDD -38.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.2%, drawdown -95.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.0%, MDD -38.4%, Sharpe 0.71, 16% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 16.9%, MDD -67.4%, exposure 77%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 57.5%p (CAGR 9.0%, 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 |
9.0% | -38.4% | 0.71 | 0.24 | 27.0x | 212 | 16% |
| Supertrend period=13, mult=2.6 |
15.1% | -68.2% | 0.68 | 0.22 | 214.5x | 341 | 52% |
| ROC 모멘텀 n=130, threshold=-0.08 |
16.2% | -55.6% | 0.66 | 0.29 | 303.2x | 139 | 72% |
| Donchian 채널 돌파 entryN=12, exitN=49 |
16.9% | -67.4% | 0.64 | 0.25 | 377.8x | 147 | 77% |
| Parabolic SAR step=0.01, maxStep=0.36 |
13.0% | -53.6% | 0.60 | 0.24 | 106.4x | 401 | 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 |
12.2% | -56.8% | 0.56 | 0.22 | 81.1x | 71 | 61% |
| SMA 크로스오버 fast=58, slow=261 |
10.5% | -62.3% | 0.53 | 0.17 | 45.1x | 37 | 62% |
| 볼린저 밴드 돌파 n=21, k=2.7 |
7.6% | -53.8% | 0.49 | 0.14 | 16.1x | 225 | 25% |
| MACD fast=20, slow=54, signal=9 |
5.1% | -79.6% | 0.31 | 0.06 | 6.7x | 483 | 47% |
| Buy and hold | 7.2% | -95.8% | 0.37 | 0.08 | 14.3x | 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