Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Great Portland Estates plc backtest
10 trend-following strategies were compared on the full daily history of Great Portland Estates plc. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -0.4%, MDD -30.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.4%, drawdown -78.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.3%, MDD -53.3%, Sharpe 0.29, 40% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 25.2%p (CAGR -0.4%, MDD -30.1%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=115, exitN=52 |
3.3% | -53.3% | 0.29 | 0.06 | 3.5x | 50 | 40% |
| SMA 크로스오버 fast=59, slow=206 |
1.8% | -64.4% | 0.19 | 0.03 | 2.0x | 50 | 52% |
| ADX / DI 방향성 period=39, threshold=26 |
1.1% | -34.6% | 0.15 | 0.03 | 1.5x | 12 | 11% |
| EMA 크로스오버 fast=51, slow=189 |
0.9% | -70.8% | 0.14 | 0.01 | 1.4x | 49 | 48% |
| ROC 모멘텀 n=115, threshold=-0.09 |
-1.6% | -81.6% | 0.04 | -0.02 | 0.5x | 241 | 70% |
| Supertrend period=12, mult=5 |
-2.4% | -83.9% | -0.02 | -0.03 | 0.4x | 201 | 53% |
| 볼린저 밴드 돌파 n=19, k=3.4 |
-0.4% | -30.1% | -0.06 | -0.01 | 0.9x | 22 | 2% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=18, mult=4 |
-2.2% | -71.1% | -0.14 | -0.03 | 0.4x | 102 | 18% |
| MACD fast=20, slow=24, signal=18 |
-11.1% | -99.3% | -0.45 | -0.11 | 0.0x | 525 | 50% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-13.2% | -99.7% | -0.55 | -0.13 | 0.0x | 715 | 49% |
| Buy and hold | -0.4% | -78.5% | 0.13 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 115 days
- Sell — Sell when price breaks below the lowest low of the last 52 days