Trend-Following Backtester · Guide · backtest 한국어
equity · GB
FRP Advisory Group Plc backtest
10 trend-following strategies were compared on the full daily history of FRP Advisory Group Plc. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.4%, MDD -21.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -40.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.5%, MDD -10.1%, Sharpe 0.47, 1% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 4.4%, MDD -21.4%, exposure 17%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 30.1%p (CAGR 4.4%, MDD -21.4%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=9, threshold=0.23 |
3.5% | -10.1% | 0.47 | 0.35 | 1.2x | 4 | 1% |
| 볼린저 밴드 돌파 n=21, k=2.6 |
4.4% | -21.4% | 0.36 | 0.21 | 1.3x | 26 | 17% |
| Supertrend period=16, mult=4.1 |
4.2% | -38.3% | 0.30 | 0.11 | 1.3x | 27 | 49% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=16, mult=2 |
3.6% | -23.9% | 0.29 | 0.15 | 1.3x | 32 | 22% |
| ADX / DI 방향성 period=9, threshold=36 |
2.4% | -31.1% | 0.22 | 0.08 | 1.2x | 72 | 22% |
| SMA 크로스오버 fast=11, slow=183 |
1.7% | -27.2% | 0.18 | 0.06 | 1.1x | 16 | 47% |
| Parabolic SAR step=0.01, maxStep=0.34 |
1.6% | -46.9% | 0.18 | 0.03 | 1.1x | 77 | 50% |
| Donchian 채널 돌파 entryN=11, exitN=47 |
1.3% | -38.4% | 0.17 | 0.03 | 1.1x | 29 | 78% |
| EMA 크로스오버 fast=37, slow=98 |
0.8% | -23.5% | 0.14 | 0.03 | 1.1x | 12 | 50% |
| MACD fast=6, slow=49, signal=8 |
-3.4% | -46.9% | -0.08 | -0.07 | 0.8x | 133 | 47% |
| Buy and hold | 5.5% | -40.2% | 0.33 | 0.14 | 1.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 9-day return is greater than 23%
- Sell — Sell when the 9-day return drops to 23% or below