Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Hargreaves Services plc backtest
10 trend-following strategies were compared on the full daily history of Hargreaves Services plc. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.4%, MDD -46.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.5%, drawdown -87.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.4%, MDD -67.8%, Sharpe 0.47, 82% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 19.9%p (CAGR 6.4%, MDD -46.7%, exposure 64%).
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=9, exitN=43 |
10.4% | -67.8% | 0.47 | 0.15 | 7.9x | 73 | 82% |
| ADX / DI 방향성 period=28, threshold=11 |
7.8% | -57.2% | 0.44 | 0.14 | 4.8x | 193 | 48% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=28, mult=4 |
4.8% | -36.0% | 0.39 | 0.13 | 2.7x | 28 | 21% |
| SMA 크로스오버 fast=10, slow=177 |
6.5% | -59.3% | 0.38 | 0.11 | 3.7x | 55 | 54% |
| ROC 모멘텀 n=143, threshold=-0.05 |
6.4% | -46.7% | 0.36 | 0.14 | 3.6x | 121 | 64% |
| EMA 크로스오버 fast=52, slow=56 |
5.1% | -48.6% | 0.32 | 0.10 | 2.8x | 49 | 55% |
| Supertrend period=16, mult=3.6 |
4.0% | -57.4% | 0.28 | 0.07 | 2.3x | 71 | 59% |
| Parabolic SAR step=0.01, maxStep=0.22 |
3.8% | -54.0% | 0.27 | 0.07 | 2.2x | 250 | 54% |
| 볼린저 밴드 돌파 n=59, k=2.8 |
2.8% | -45.0% | 0.26 | 0.06 | 1.8x | 43 | 22% |
| MACD fast=13, slow=30, signal=19 |
2.7% | -70.8% | 0.23 | 0.04 | 1.7x | 252 | 50% |
| Buy and hold | 5.5% | -87.6% | 0.33 | 0.06 | 3.1x | 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 9 days
- Sell — Sell when price breaks below the lowest low of the last 43 days