Trend-Following Backtester · Guide · backtest 한국어
equity · GB
IMI plc backtest
10 trend-following strategies were compared on the full daily history of IMI plc. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -65.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.9%, MDD -57.9%, Sharpe 0.31, 88% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=9, exitN=79 |
4.9% | -57.9% | 0.31 | 0.08 | 6.1x | 115 | 88% |
| Supertrend period=28, mult=5 |
2.9% | -73.0% | 0.24 | 0.04 | 3.0x | 179 | 59% |
| SMA 크로스오버 fast=30, slow=130 |
2.9% | -62.1% | 0.24 | 0.05 | 3.0x | 93 | 60% |
| Keltner 채널 돌파 emaPeriod=137, atrPeriod=26, mult=0.8 |
2.3% | -63.4% | 0.21 | 0.04 | 2.4x | 233 | 57% |
| EMA 크로스오버 fast=46, slow=233 |
2.1% | -69.3% | 0.20 | 0.03 | 2.2x | 49 | 61% |
| ROC 모멘텀 n=74, threshold=-0.02 |
1.2% | -78.8% | 0.16 | 0.02 | 1.6x | 415 | 65% |
| ADX / DI 방향성 period=14, threshold=60 |
0.1% | -5.2% | 0.07 | 0.01 | 1.0x | 2 | 0% |
| MACD fast=20, slow=59, signal=24 |
-0.7% | -76.1% | 0.07 | -0.01 | 0.8x | 367 | 52% |
| 볼린저 밴드 돌파 n=20, k=3.5 |
-0.3% | -14.4% | -0.06 | -0.02 | 0.9x | 18 | 2% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-4.1% | -94.6% | -0.09 | -0.04 | 0.2x | 678 | 54% |
| Buy and hold | 6.9% | -65.5% | 0.37 | 0.10 | 12.5x | 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 79 days