Trend-Following Backtester · Guide · backtest 한국어
equity · GB
MITIE Group PLC backtest
10 trend-following strategies were compared on the full daily history of MITIE Group PLC. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.1%, MDD -12.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.6%, drawdown -84.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.1%, MDD -12.4%, Sharpe 1.23, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.3%, MDD -53.8%, exposure 60%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 72.3%p (CAGR 8.1%, MDD -12.4%, exposure 10%).
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=4, atrPeriod=17, mult=2.8 |
8.1% | -12.4% | 1.23 | 0.65 | 19.3x | 111 | 10% |
| ADX / DI 방향성 period=32, threshold=27 |
6.1% | -36.3% | 0.67 | 0.17 | 9.4x | 75 | 21% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
4.0% | -12.7% | 0.67 | 0.32 | 4.5x | 57 | 7% |
| SMA 크로스오버 fast=32, slow=152 |
9.3% | -53.8% | 0.55 | 0.17 | 29.2x | 68 | 60% |
| EMA 크로스오버 fast=38, slow=145 |
8.7% | -46.0% | 0.52 | 0.19 | 23.8x | 63 | 63% |
| Donchian 채널 돌파 entryN=98, exitN=6 |
4.8% | -57.9% | 0.51 | 0.08 | 5.9x | 184 | 18% |
| Supertrend period=19, mult=4.6 |
8.5% | -77.5% | 0.50 | 0.11 | 22.0x | 183 | 56% |
| ROC 모멘텀 n=136, threshold=-0.11 |
7.8% | -74.9% | 0.43 | 0.10 | 17.4x | 165 | 80% |
| Parabolic SAR step=0.015, maxStep=0.22 |
4.4% | -94.6% | 0.31 | 0.05 | 5.1x | 575 | 54% |
| MACD fast=6, slow=27, signal=15 |
3.6% | -94.7% | 0.27 | 0.04 | 3.9x | 737 | 50% |
| Buy and hold | 10.6% | -84.7% | 0.48 | 0.12 | 45.7x | 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 4-day average + 2.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 4-day average