Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Nichols plc backtest
10 trend-following strategies were compared on the full daily history of Nichols plc. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.1%, MDD -44.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.5%, drawdown -61.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.8%, MDD -13.5%, Sharpe 0.69, 9% exposure.
CAGR reference leader: Supertrend — CAGR 8.1%, MDD -44.8%, exposure 53%.
Return/drawdown alternative: Supertrend — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 48.1%p (CAGR 8.1%, MDD -44.8%, exposure 53%).
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=8, atrPeriod=22, mult=3.8 |
3.8% | -13.5% | 0.69 | 0.28 | 4.1x | 74 | 9% |
| Supertrend period=9, mult=4.4 |
8.1% | -44.8% | 0.51 | 0.18 | 19.3x | 147 | 53% |
| ADX / DI 방향성 period=28, threshold=34 |
2.7% | -27.4% | 0.47 | 0.10 | 2.8x | 54 | 11% |
| Donchian 채널 돌파 entryN=117, exitN=67 |
5.4% | -49.1% | 0.41 | 0.11 | 7.5x | 51 | 47% |
| EMA 크로스오버 fast=87, slow=265 |
5.5% | -55.2% | 0.39 | 0.10 | 7.7x | 30 | 56% |
| SMA 크로스오버 fast=50, slow=189 |
4.9% | -41.7% | 0.36 | 0.12 | 6.3x | 49 | 56% |
| Parabolic SAR step=0.02, maxStep=0.22 |
2.2% | -78.5% | 0.21 | 0.03 | 2.3x | 619 | 51% |
| ROC 모멘텀 n=129, threshold=0.05 |
1.9% | -74.7% | 0.20 | 0.03 | 2.1x | 253 | 46% |
| 볼린저 밴드 돌파 n=19, k=3.5 |
0.7% | -34.8% | 0.14 | 0.02 | 1.3x | 90 | 9% |
| MACD fast=11, slow=45, signal=16 |
-1.4% | -89.3% | 0.02 | -0.02 | 0.6x | 501 | 49% |
| Buy and hold | 6.5% | -61.6% | 0.37 | 0.11 | 11.1x | 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 8-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 8-day average