Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Glencore plc backtest
10 trend-following strategies were compared on the full daily history of Glencore plc. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.3%, MDD -9.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.7%, drawdown -87.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.7%, MDD -28.4%, Sharpe 0.69, 29% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 58.7%p (CAGR 1.3%, MDD -9.3%, exposure 1%).
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=207, threshold=0.2 |
11.7% | -28.4% | 0.69 | 0.41 | 5.4x | 45 | 29% |
| Donchian 채널 돌파 entryN=93, exitN=56 |
10.1% | -33.9% | 0.56 | 0.30 | 4.4x | 17 | 35% |
| SMA 크로스오버 fast=57, slow=161 |
10.5% | -44.1% | 0.55 | 0.24 | 4.6x | 25 | 48% |
| EMA 크로스오버 fast=40, slow=146 |
8.6% | -41.8% | 0.48 | 0.21 | 3.5x | 21 | 45% |
| ADX / DI 방향성 period=37, threshold=15 |
7.0% | -37.1% | 0.44 | 0.19 | 2.8x | 60 | 22% |
| 볼린저 밴드 돌파 n=45, k=2.3 |
6.1% | -40.7% | 0.40 | 0.15 | 2.5x | 53 | 27% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=8, mult=3.7 |
1.3% | -9.3% | 0.35 | 0.14 | 1.2x | 2 | 1% |
| Supertrend period=12, mult=4.6 |
4.1% | -61.9% | 0.28 | 0.07 | 1.8x | 46 | 49% |
| MACD fast=23, slow=46, signal=19 |
2.4% | -69.3% | 0.22 | 0.03 | 1.4x | 145 | 51% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-5.4% | -72.7% | -0.08 | -0.07 | 0.4x | 211 | 51% |
| Buy and hold | 0.7% | -87.1% | 0.22 | 0.01 | 1.1x | 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 207-day return is greater than 20%
- Sell — Sell when the 207-day return drops to 20% or below