Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Grainger plc backtest
10 trend-following strategies were compared on the full daily history of Grainger plc. 10 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 9.1%, MDD -22.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.4%, drawdown -90.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.1%, MDD -22.7%, Sharpe 0.95, 16% exposure.
CAGR reference leader: Supertrend — CAGR 14.9%, MDD -46.2%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 68.2%p (CAGR 9.1%, MDD -22.7%, 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=14, atrPeriod=20, mult=3.5 |
9.1% | -22.7% | 0.95 | 0.40 | 27.6x | 108 | 16% |
| Supertrend period=12, mult=5 |
14.9% | -46.2% | 0.82 | 0.32 | 197.8x | 151 | 53% |
| ADX / DI 방향성 period=23, threshold=20 |
10.9% | -29.1% | 0.79 | 0.37 | 51.5x | 189 | 28% |
| 볼린저 밴드 돌파 n=16, k=2.7 |
7.7% | -36.5% | 0.73 | 0.21 | 16.9x | 160 | 16% |
| Donchian 채널 돌파 entryN=54, exitN=26 |
9.9% | -40.2% | 0.67 | 0.25 | 36.6x | 121 | 40% |
| SMA 크로스오버 fast=8, slow=99 |
9.6% | -64.9% | 0.59 | 0.15 | 32.3x | 135 | 53% |
| EMA 크로스오버 fast=17, slow=76 |
8.8% | -67.9% | 0.55 | 0.13 | 24.5x | 125 | 52% |
| ROC 모멘텀 n=72, threshold=0.02 |
7.8% | -69.7% | 0.50 | 0.11 | 17.4x | 290 | 47% |
| Parabolic SAR step=0.005, maxStep=0.36 |
8.4% | -84.1% | 0.50 | 0.10 | 21.5x | 285 | 52% |
| MACD fast=15, slow=28, signal=24 |
6.4% | -76.7% | 0.39 | 0.08 | 10.4x | 430 | 49% |
| Buy and hold | 3.4% | -90.9% | 0.26 | 0.04 | 3.5x | 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 14-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average