Trend-Following Backtester · Guide · backtest 한국어
equity · GB
James Halstead plc backtest
10 trend-following strategies were compared on the full daily history of James Halstead plc. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.3%, MDD -38.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.7%, drawdown -63.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.1%, MDD -17.1%, Sharpe 0.79, 12% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.3%, MDD -38.7%, exposure 58%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.7%p lower than buy and hold, while drawdown improves by 46.1%p (CAGR 9.3%, MDD -38.7%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=18, mult=3.7 |
4.1% | -17.1% | 0.79 | 0.24 | 4.6x | 96 | 12% |
| ADX / DI 방향성 period=30, threshold=41 |
3.8% | -15.8% | 0.72 | 0.24 | 4.1x | 46 | 13% |
| SMA 크로스오버 fast=59, slow=184 |
9.3% | -38.7% | 0.59 | 0.24 | 30.1x | 40 | 58% |
| EMA 크로스오버 fast=45, slow=211 |
9.1% | -48.3% | 0.58 | 0.19 | 27.9x | 34 | 59% |
| Donchian 채널 돌파 entryN=71, exitN=62 |
8.6% | -55.7% | 0.56 | 0.15 | 23.5x | 53 | 55% |
| Supertrend period=32, mult=4.9 |
8.9% | -46.3% | 0.55 | 0.19 | 26.3x | 147 | 60% |
| 볼린저 밴드 돌파 n=39, k=3.4 |
3.9% | -43.7% | 0.51 | 0.09 | 4.4x | 62 | 17% |
| ROC 모멘텀 n=113, threshold=0.02 |
5.2% | -69.5% | 0.38 | 0.07 | 6.9x | 268 | 55% |
| Parabolic SAR step=0.01, maxStep=0.06 |
4.4% | -78.2% | 0.33 | 0.06 | 5.1x | 362 | 55% |
| MACD fast=17, slow=46, signal=16 |
-2.3% | -94.0% | -0.05 | -0.02 | 0.4x | 442 | 48% |
| Buy and hold | 7.7% | -63.2% | 0.42 | 0.12 | 17.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 7-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average