Trend-Following Backtester · Guide · backtest 한국어

equity · GB

Molten Ventures PLC backtest

10 trend-following strategies were compared on the full daily history of Molten Ventures PLC. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.6%, MDD -27.9%).

Data 2016-06-15 ~ 2026-07-31daily bars 2,560 (10.1 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 6.9%, drawdown -82.3%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.6%, MDD -27.9%, Sharpe 0.69, 39% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 54.4%p (CAGR 13.6%, MDD -27.9%, exposure 39%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=84, exitN=31
13.6%-27.9%0.690.493.6x1739%
EMA 크로스오버
fast=18, slow=186
12.1%-56.5%0.560.213.2x1551%
볼린저 밴드 돌파
n=32, k=2
10.2%-34.0%0.550.302.7x5633%
Keltner 채널 돌파
emaPeriod=58, atrPeriod=27, mult=2.4
9.5%-46.9%0.520.202.5x3140%
Supertrend
period=33, mult=2.3
11.2%-66.3%0.500.172.9x7455%
ADX / DI 방향성
period=30, threshold=17
8.8%-33.0%0.500.272.3x5431%
ROC 모멘텀
n=73, threshold=0.08
9.3%-42.7%0.490.222.5x8339%
MACD
fast=24, slow=52, signal=18
6.8%-62.5%0.370.111.9x8850%
SMA 크로스오버
fast=36, slow=119
6.7%-64.2%0.370.101.9x2153%
Parabolic SAR
step=0.005, maxStep=0.24
0.7%-76.6%0.170.011.1x8950%
Buy and hold6.9%-82.3%0.370.082.0x1100%
1x 2017 2019 2021 2023 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -41% -62% -82% 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -27.9% (2018-08-16 → 2020-07-24), recovered after 894 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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