Trend-Following Backtester · Guide · backtest 한국어
equity · GB
ME Group International plc backtest
10 trend-following strategies were compared on the full daily history of ME Group International plc. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.8%, MDD -38.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.6%, drawdown -99.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.0%, MDD -57.4%, Sharpe 0.68, 26% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.4%p higher than buy and hold, while drawdown improves by 42.3%p (CAGR 10.8%, MDD -38.5%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=47, k=2.7 |
14.0% | -57.4% | 0.68 | 0.24 | 146.6x | 98 | 26% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=21, mult=3.7 |
10.8% | -38.5% | 0.68 | 0.28 | 50.0x | 98 | 18% |
| Donchian 채널 돌파 entryN=94, exitN=14 |
12.4% | -70.0% | 0.64 | 0.18 | 86.0x | 114 | 23% |
| ADX / DI 방향성 period=37, threshold=31 |
7.9% | -48.4% | 0.58 | 0.16 | 18.1x | 42 | 11% |
| EMA 크로스오버 fast=39, slow=170 |
13.9% | -68.8% | 0.58 | 0.20 | 141.7x | 52 | 49% |
| SMA 크로스오버 fast=15, slow=179 |
12.4% | -76.0% | 0.53 | 0.16 | 86.0x | 82 | 51% |
| ROC 모멘텀 n=118, threshold=0.13 |
10.6% | -80.1% | 0.51 | 0.13 | 45.8x | 264 | 32% |
| Parabolic SAR step=0.025, maxStep=0.04 |
11.7% | -82.1% | 0.50 | 0.14 | 67.0x | 358 | 52% |
| Supertrend period=27, mult=4.9 |
11.0% | -76.8% | 0.50 | 0.14 | 54.0x | 176 | 53% |
| MACD fast=18, slow=52, signal=19 |
-6.7% | -99.6% | 0.22 | -0.07 | 0.1x | 403 | 51% |
| Buy and hold | 2.6% | -99.7% | 0.17 | 0.03 | 2.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 47-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 47-day middle average