Trend-Following Backtester · Guide · backtest 한국어
equity · GB
IP Group plc backtest
10 trend-following strategies were compared on the full daily history of IP Group plc. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.9%, MDD -12.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.4%, drawdown -86.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.9%, MDD -17.9%, Sharpe 0.67, 10% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.2%, MDD -55.8%, exposure 35%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 69.0%p (CAGR 2.9%, MDD -12.9%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=57, k=3.5 |
6.9% | -17.9% | 0.67 | 0.39 | 4.6x | 12 | 10% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=19, mult=3 |
5.5% | -36.1% | 0.50 | 0.15 | 3.4x | 36 | 11% |
| ADX / DI 방향성 period=25, threshold=37 |
2.9% | -12.9% | 0.49 | 0.23 | 1.9x | 12 | 4% |
| Donchian 채널 돌파 entryN=48, exitN=24 |
7.2% | -55.8% | 0.45 | 0.13 | 4.9x | 59 | 35% |
| EMA 크로스오버 fast=50, slow=205 |
5.3% | -51.3% | 0.34 | 0.10 | 3.3x | 23 | 45% |
| Supertrend period=11, mult=2.1 |
3.8% | -84.0% | 0.27 | 0.04 | 2.3x | 187 | 47% |
| SMA 크로스오버 fast=44, slow=286 |
3.6% | -61.7% | 0.27 | 0.06 | 2.3x | 25 | 44% |
| ROC 모멘텀 n=130, threshold=0.05 |
2.6% | -66.6% | 0.23 | 0.04 | 1.8x | 177 | 40% |
| Parabolic SAR step=0.015, maxStep=0.18 |
1.7% | -86.3% | 0.20 | 0.02 | 1.5x | 409 | 49% |
| MACD fast=19, slow=43, signal=18 |
1.0% | -75.3% | 0.18 | 0.01 | 1.3x | 243 | 49% |
| Buy and hold | 0.4% | -86.9% | 0.21 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 57-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 57-day middle average