Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Harworth Group PLC backtest
10 trend-following strategies were compared on the full daily history of Harworth Group PLC. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.7%, MDD -27.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.0%, drawdown -99.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.3%, MDD -38.5%, Sharpe 0.52, 28% exposure.
CAGR reference leader: Supertrend — CAGR 12.1%, MDD -86.9%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.3%p higher than buy and hold, while drawdown improves by 61.0%p (CAGR 3.7%, MDD -27.0%, exposure 13%).
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=114, exitN=26 |
8.3% | -38.5% | 0.52 | 0.22 | 14.4x | 69 | 28% |
| Supertrend period=10, mult=2.1 |
12.1% | -86.9% | 0.52 | 0.14 | 45.0x | 355 | 51% |
| EMA 크로스오버 fast=16, slow=167 |
9.5% | -55.1% | 0.51 | 0.17 | 20.7x | 55 | 48% |
| 볼린저 밴드 돌파 n=57, k=3.1 |
7.0% | -51.6% | 0.46 | 0.14 | 9.6x | 71 | 24% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=18, mult=3.7 |
6.3% | -43.7% | 0.46 | 0.15 | 7.7x | 87 | 16% |
| Parabolic SAR step=0.02, maxStep=0.34 |
8.1% | -60.7% | 0.39 | 0.13 | 13.4x | 579 | 48% |
| SMA 크로스오버 fast=29, slow=124 |
6.8% | -65.0% | 0.39 | 0.11 | 9.0x | 71 | 49% |
| ROC 모멘텀 n=98, threshold=0.1 |
6.1% | -58.0% | 0.38 | 0.11 | 7.3x | 231 | 35% |
| ADX / DI 방향성 period=20, threshold=36 |
3.7% | -27.0% | 0.35 | 0.14 | 3.4x | 80 | 13% |
| MACD fast=18, slow=28, signal=17 |
2.7% | -89.5% | 0.24 | 0.03 | 2.4x | 403 | 50% |
| Buy and hold | -6.0% | -99.5% | 0.11 | -0.06 | 0.1x | 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 114 days
- Sell — Sell when price breaks below the lowest low of the last 26 days