Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Future plc backtest
10 trend-following strategies were compared on the full daily history of Future 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 9.2%, MDD -45.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.3%, drawdown -99.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.2%, MDD -45.8%, Sharpe 0.56, 16% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.6%, MDD -69.0%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 18.5%p higher than buy and hold, while drawdown improves by 53.4%p (CAGR 9.2%, MDD -45.8%, 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=34, atrPeriod=9, mult=3.6 |
9.2% | -45.8% | 0.56 | 0.20 | 10.9x | 54 | 16% |
| Donchian 채널 돌파 entryN=36, exitN=47 |
9.6% | -69.0% | 0.43 | 0.14 | 11.9x | 73 | 51% |
| 볼린저 밴드 돌파 n=56, k=2.9 |
7.5% | -57.2% | 0.43 | 0.13 | 7.1x | 62 | 24% |
| ROC 모멘텀 n=176, threshold=0.03 |
7.6% | -73.6% | 0.39 | 0.10 | 7.3x | 134 | 46% |
| ADX / DI 방향성 period=14, threshold=30 |
5.6% | -60.7% | 0.36 | 0.09 | 4.4x | 134 | 17% |
| SMA 크로스오버 fast=20, slow=47 |
6.9% | -75.1% | 0.36 | 0.09 | 6.1x | 150 | 47% |
| Supertrend period=9, mult=3 |
4.3% | -91.0% | 0.29 | 0.05 | 3.1x | 200 | 50% |
| EMA 크로스오버 fast=9, slow=51 |
4.5% | -85.8% | 0.29 | 0.05 | 3.3x | 170 | 46% |
| Parabolic SAR step=0.005, maxStep=0.3 |
2.5% | -86.2% | 0.25 | 0.03 | 2.0x | 195 | 49% |
| MACD fast=17, slow=31, signal=15 |
-12.6% | -98.6% | -0.10 | -0.13 | 0.0x | 359 | 50% |
| Buy and hold | -9.3% | -99.2% | 0.12 | -0.09 | 0.1x | 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 34-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 34-day average