Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Marston's PLC backtest
10 trend-following strategies were compared on the full daily history of Marston's PLC. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.8%, MDD -28.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.5%, drawdown -93.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.3%, MDD -33.2%, Sharpe 0.39, 17% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 60.3%p (CAGR 1.8%, MDD -28.1%, exposure 18%).
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=12, atrPeriod=19, mult=3.4 |
4.3% | -33.2% | 0.39 | 0.13 | 5.0x | 172 | 17% |
| Donchian 채널 돌파 entryN=55, exitN=23 |
3.7% | -40.5% | 0.29 | 0.09 | 4.1x | 121 | 37% |
| 볼린저 밴드 돌파 n=55, k=2.7 |
1.8% | -28.1% | 0.21 | 0.07 | 2.0x | 72 | 18% |
| Parabolic SAR step=0.01, maxStep=0.22 |
2.6% | -79.7% | 0.21 | 0.03 | 2.6x | 414 | 53% |
| Supertrend period=10, mult=2.2 |
2.4% | -84.2% | 0.20 | 0.03 | 2.4x | 514 | 46% |
| ROC 모멘텀 n=109, threshold=-0.07 |
1.7% | -80.0% | 0.18 | 0.02 | 1.9x | 220 | 72% |
| MACD fast=15, slow=25, signal=19 |
1.7% | -76.8% | 0.18 | 0.02 | 1.9x | 428 | 54% |
| EMA 크로스오버 fast=39, slow=146 |
0.9% | -64.1% | 0.14 | 0.01 | 1.4x | 67 | 56% |
| SMA 크로스오버 fast=10, slow=201 |
0.6% | -68.5% | 0.12 | 0.01 | 1.2x | 90 | 51% |
| ADX / DI 방향성 period=22, threshold=17 |
-0.4% | -78.0% | 0.08 | -0.01 | 0.9x | 300 | 34% |
| Buy and hold | -1.5% | -93.5% | 0.13 | -0.02 | 0.6x | 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 12-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average