Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Halma plc backtest
10 trend-following strategies were compared on the full daily history of Halma plc. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.8%, drawdown -48.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.1%, MDD -15.6%, Sharpe 0.68, 9% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.0%, MDD -56.2%, exposure 88%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=12, atrPeriod=19, mult=3.4 |
4.1% | -15.6% | 0.68 | 0.26 | 4.6x | 86 | 9% |
| Donchian 채널 돌파 entryN=11, exitN=56 |
10.0% | -56.2% | 0.54 | 0.18 | 37.9x | 118 | 88% |
| EMA 크로스오버 fast=45, slow=219 |
8.5% | -56.2% | 0.51 | 0.15 | 22.4x | 35 | 73% |
| Supertrend period=29, mult=5 |
7.9% | -54.8% | 0.50 | 0.14 | 18.0x | 170 | 62% |
| ROC 모멘텀 n=102, threshold=-0.1 |
9.0% | -66.4% | 0.49 | 0.14 | 26.3x | 154 | 87% |
| SMA 크로스오버 fast=58, slow=212 |
7.3% | -68.9% | 0.45 | 0.11 | 14.4x | 43 | 71% |
| MACD fast=19, slow=23, signal=10 |
5.0% | -66.3% | 0.37 | 0.08 | 6.5x | 577 | 50% |
| 볼린저 밴드 돌파 n=24, k=3.5 |
1.4% | -23.4% | 0.31 | 0.06 | 1.7x | 30 | 4% |
| Parabolic SAR step=0.015, maxStep=0.14 |
3.7% | -77.7% | 0.29 | 0.05 | 4.0x | 602 | 54% |
| ADX / DI 방향성 period=23, threshold=29 |
1.6% | -35.2% | 0.24 | 0.05 | 1.9x | 106 | 14% |
| Buy and hold | 12.8% | -48.1% | 0.60 | 0.27 | 98.0x | 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 12-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average