Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Genuit Group PLC backtest
10 trend-following strategies were compared on the full daily history of Genuit Group PLC. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.2%, MDD -16.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.3%, drawdown -69.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.2%, MDD -16.8%, Sharpe 0.49, 11% exposure.
CAGR reference leader: Parabolic SAR — CAGR 5.0%, MDD -30.1%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 52.9%p (CAGR 4.2%, MDD -16.8%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=23, k=3.1 |
4.2% | -16.8% | 0.49 | 0.25 | 1.7x | 22 | 11% |
| Donchian 채널 돌파 entryN=98, exitN=51 |
5.0% | -32.1% | 0.36 | 0.15 | 1.8x | 16 | 40% |
| Parabolic SAR step=0.01, maxStep=0.22 |
5.0% | -30.1% | 0.33 | 0.17 | 1.8x | 159 | 53% |
| SMA 크로스오버 fast=75, slow=103 |
4.6% | -45.6% | 0.31 | 0.10 | 1.7x | 38 | 50% |
| MACD fast=12, slow=17, signal=14 |
3.9% | -46.7% | 0.28 | 0.08 | 1.6x | 203 | 50% |
| ADX / DI 방향성 period=27, threshold=25 |
1.6% | -23.4% | 0.25 | 0.07 | 1.2x | 20 | 8% |
| EMA 크로스오버 fast=55, slow=192 |
3.1% | -39.4% | 0.25 | 0.08 | 1.4x | 14 | 48% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=23, mult=1.9 |
0.8% | -22.6% | 0.15 | 0.04 | 1.1x | 26 | 4% |
| ROC 모멘텀 n=110, threshold=0.04 |
1.0% | -41.5% | 0.15 | 0.02 | 1.1x | 92 | 43% |
| Supertrend period=24, mult=1.8 |
-0.8% | -39.8% | 0.08 | -0.02 | 0.9x | 133 | 52% |
| Buy and hold | 0.3% | -69.6% | 0.17 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 23-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 23-day middle average