Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Keller Group plc backtest
10 trend-following strategies were compared on the full daily history of Keller Group plc. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.1%, MDD -50.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 10.2%, drawdown -79.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.1%, MDD -50.7%, Sharpe 0.66, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 14.1%, MDD -50.7%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=3, slow=53 |
14.1% | -50.7% | 0.66 | 0.28 | 69.6x | 223 | 58% |
| Parabolic SAR step=0.03, maxStep=0.06 |
12.4% | -60.6% | 0.61 | 0.20 | 42.9x | 482 | 53% |
| Donchian 채널 돌파 entryN=18, exitN=40 |
13.5% | -66.9% | 0.60 | 0.20 | 59.7x | 119 | 69% |
| MACD fast=31, slow=52, signal=25 |
11.7% | -60.4% | 0.58 | 0.19 | 35.8x | 215 | 51% |
| Supertrend period=28, mult=1.7 |
11.6% | -70.2% | 0.58 | 0.16 | 34.1x | 370 | 53% |
| ROC 모멘텀 n=33, threshold=-0.03 |
12.3% | -62.9% | 0.57 | 0.20 | 42.0x | 349 | 66% |
| EMA 크로스오버 fast=10, slow=33 |
10.9% | -64.6% | 0.55 | 0.17 | 28.5x | 219 | 58% |
| ADX / DI 방향성 period=39, threshold=8 |
9.7% | -59.2% | 0.50 | 0.16 | 19.7x | 280 | 57% |
| 볼린저 밴드 돌파 n=14, k=0.9 |
8.6% | -68.7% | 0.48 | 0.13 | 14.3x | 600 | 43% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=13, mult=1.1 |
8.2% | -70.2% | 0.46 | 0.12 | 12.7x | 215 | 50% |
| Buy and hold | 10.2% | -79.6% | 0.45 | 0.13 | 23.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 3-day average price crosses above the 53-day average
- Sell — Sell (to cash) when the 3-day average falls below the 53-day average