Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Mobico Group PLC backtest
10 trend-following strategies were compared on the full daily history of Mobico Group PLC. 9 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 2.2%, MDD -9.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.8%, drawdown -97.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.7%, MDD -10.6%, Sharpe 0.69, 8% exposure.
CAGR reference leader: Supertrend — CAGR 4.4%, MDD -75.7%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 86.9%p (CAGR 2.2%, MDD -9.7%, exposure 3%).
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=14, atrPeriod=8, mult=4 |
3.7% | -10.6% | 0.69 | 0.35 | 3.4x | 56 | 8% |
| ADX / DI 방향성 period=36, threshold=29 |
3.4% | -15.4% | 0.55 | 0.22 | 3.1x | 32 | 9% |
| 볼린저 밴드 돌파 n=12, k=3 |
2.2% | -9.7% | 0.50 | 0.22 | 2.1x | 32 | 3% |
| Supertrend period=6, mult=4.6 |
4.4% | -75.7% | 0.30 | 0.06 | 4.2x | 171 | 57% |
| SMA 크로스오버 fast=23, slow=87 |
4.1% | -62.1% | 0.29 | 0.07 | 3.8x | 106 | 54% |
| Donchian 채널 돌파 entryN=25, exitN=72 |
3.7% | -90.6% | 0.27 | 0.04 | 3.5x | 79 | 72% |
| EMA 크로스오버 fast=8, slow=66 |
2.8% | -75.1% | 0.23 | 0.04 | 2.5x | 184 | 54% |
| ROC 모멘텀 n=136, threshold=-0.04 |
2.0% | -74.6% | 0.20 | 0.03 | 2.0x | 239 | 65% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-2.1% | -92.8% | 0.04 | -0.02 | 0.5x | 513 | 51% |
| MACD fast=18, slow=30, signal=7 |
-4.6% | -93.6% | -0.04 | -0.05 | 0.2x | 588 | 48% |
| Buy and hold | -3.8% | -97.5% | 0.10 | -0.04 | 0.3x | 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 14-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average