Trend-Following Backtester · Guide · backtest 한국어
equity · GB
GB Group PLC backtest
10 trend-following strategies were compared on the full daily history of GB Group 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 13.4%, MDD -49.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.3%, drawdown -98.7%).
Sharpe leader (same as main): Supertrend — CAGR 17.6%, MDD -78.8%, Sharpe 0.60, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 19.9%p (CAGR 13.4%, MDD -49.5%, exposure 25%).
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=11, mult=2.7 |
17.6% | -78.8% | 0.60 | 0.22 | 219.7x | 292 | 53% |
| ADX / DI 방향성 period=11, threshold=21 |
16.6% | -64.8% | 0.59 | 0.26 | 164.8x | 468 | 41% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=12, mult=0.9 |
14.4% | -56.4% | 0.54 | 0.25 | 87.0x | 456 | 33% |
| 볼린저 밴드 돌파 n=10, k=2.1 |
13.4% | -49.5% | 0.53 | 0.27 | 65.5x | 402 | 25% |
| Parabolic SAR step=0.02, maxStep=0.14 |
13.5% | -79.1% | 0.50 | 0.17 | 66.5x | 530 | 48% |
| EMA 크로스오버 fast=21, slow=377 |
9.7% | -76.4% | 0.43 | 0.13 | 22.0x | 30 | 49% |
| SMA 크로스오버 fast=15, slow=336 |
9.1% | -78.6% | 0.41 | 0.12 | 17.8x | 46 | 51% |
| Donchian 채널 돌파 entryN=103, exitN=57 |
5.5% | -85.0% | 0.31 | 0.06 | 5.9x | 52 | 43% |
| MACD fast=6, slow=47, signal=8 |
4.6% | -82.6% | 0.30 | 0.06 | 4.4x | 700 | 48% |
| ROC 모멘텀 n=138, threshold=-0.04 |
1.9% | -86.0% | 0.23 | 0.02 | 1.9x | 198 | 61% |
| Buy and hold | 0.3% | -98.7% | 0.26 | 0.00 | 1.1x | 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) — 11-day volatility, 2.7× band
- Sell — Sell when price drops below the trend line (flips down)