Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Ibstock Plc backtest
10 trend-following strategies were compared on the full daily history of Ibstock Plc. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.2%, MDD -7.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.7%, drawdown -72.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.8%, MDD -7.9%, Sharpe 0.25, 1% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 64.7%p (CAGR 0.2%, MDD -7.7%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=23 |
0.8% | -7.9% | 0.25 | 0.11 | 1.1x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=24, mult=2.4 |
0.2% | -7.7% | 0.07 | 0.03 | 1.0x | 12 | 2% |
| Supertrend period=21, mult=2.7 |
-0.9% | -48.9% | 0.06 | -0.02 | 0.9x | 70 | 46% |
| EMA 크로스오버 fast=25, slow=79 |
-1.1% | -51.1% | 0.04 | -0.02 | 0.9x | 28 | 44% |
| SMA 크로스오버 fast=14, slow=61 |
-1.7% | -49.3% | 0.03 | -0.04 | 0.8x | 56 | 48% |
| ROC 모멘텀 n=75, threshold=0.11 |
-0.7% | -38.1% | 0.02 | -0.02 | 0.9x | 92 | 24% |
| Donchian 채널 돌파 entryN=92, exitN=43 |
-1.7% | -41.3% | -0.02 | -0.04 | 0.8x | 18 | 34% |
| 볼린저 밴드 돌파 n=26, k=3.1 |
-0.4% | -17.0% | -0.05 | -0.02 | 1.0x | 8 | 3% |
| MACD fast=11, slow=26, signal=17 |
-4.3% | -58.9% | -0.11 | -0.07 | 0.6x | 173 | 50% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-5.7% | -65.9% | -0.17 | -0.09 | 0.5x | 95 | 50% |
| Buy and hold | -6.7% | -72.6% | -0.03 | -0.09 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)