Trend-Following Backtester · Guide · backtest 한국어
equity · GB
International Workplace Group PLC backtest
10 trend-following strategies were compared on the full daily history of International Workplace Group PLC. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.5%, MDD -28.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.9%, drawdown -94.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.8%, MDD -64.0%, Sharpe 0.59, 74% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.9%p higher than buy and hold, while drawdown improves by 30.8%p (CAGR 4.5%, MDD -28.6%, exposure 5%).
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=12, exitN=44 |
18.8% | -64.0% | 0.59 | 0.29 | 75.0x | 101 | 74% |
| ROC 모멘텀 n=106, threshold=0.01 |
11.9% | -63.9% | 0.50 | 0.19 | 16.7x | 173 | 54% |
| SMA 크로스오버 fast=17, slow=132 |
10.5% | -50.7% | 0.46 | 0.21 | 12.1x | 62 | 55% |
| Supertrend period=21, mult=4.3 |
10.8% | -60.8% | 0.46 | 0.18 | 13.2x | 88 | 53% |
| MACD fast=16, slow=38, signal=11 |
9.0% | -81.0% | 0.40 | 0.11 | 8.7x | 328 | 49% |
| 볼린저 밴드 돌파 n=12, k=2.9 |
4.5% | -28.6% | 0.40 | 0.16 | 3.0x | 42 | 5% |
| ADX / DI 방향성 period=29, threshold=39 |
3.3% | -18.3% | 0.38 | 0.18 | 2.2x | 8 | 1% |
| Parabolic SAR step=0.04, maxStep=0.08 |
7.2% | -76.6% | 0.36 | 0.09 | 5.8x | 511 | 54% |
| EMA 크로스오버 fast=35, slow=57 |
5.9% | -62.4% | 0.33 | 0.09 | 4.2x | 74 | 56% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=21, mult=3.9 |
3.0% | -24.8% | 0.29 | 0.12 | 2.1x | 26 | 5% |
| Buy and hold | 4.9% | -94.8% | 0.37 | 0.05 | 3.3x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 44 days