Trend-Following Backtester · Guide · backtest 한국어
equity · GB
On The Beach Group PLC backtest
10 trend-following strategies were compared on the full daily history of On The Beach Group PLC. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.0%, MDD -21.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.9%, drawdown -87.3%).
Sharpe leader (same as main): MACD — CAGR 9.3%, MDD -52.7%, Sharpe 0.42, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 34.6%p (CAGR 4.0%, MDD -21.1%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=18, slow=43, signal=18 |
9.3% | -52.7% | 0.42 | 0.18 | 2.6x | 113 | 49% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=23, mult=2.9 |
4.4% | -22.8% | 0.41 | 0.19 | 1.6x | 14 | 5% |
| Donchian 채널 돌파 entryN=67, exitN=8 |
5.4% | -31.4% | 0.37 | 0.17 | 1.8x | 35 | 16% |
| 볼린저 밴드 돌파 n=23, k=3 |
4.0% | -21.1% | 0.35 | 0.19 | 1.5x | 22 | 9% |
| Parabolic SAR step=0.02, maxStep=0.32 |
5.4% | -78.4% | 0.32 | 0.07 | 1.8x | 223 | 47% |
| Supertrend period=15, mult=2.6 |
4.7% | -53.6% | 0.31 | 0.09 | 1.7x | 79 | 55% |
| ADX / DI 방향성 period=18, threshold=21 |
3.6% | -44.9% | 0.26 | 0.08 | 1.5x | 102 | 32% |
| SMA 크로스오버 fast=37, slow=111 |
0.6% | -75.0% | 0.18 | 0.01 | 1.1x | 27 | 50% |
| EMA 크로스오버 fast=6, slow=133 |
0.4% | -69.4% | 0.16 | 0.01 | 1.0x | 47 | 47% |
| ROC 모멘텀 n=160, threshold=0.1 |
-0.4% | -65.8% | 0.13 | -0.01 | 1.0x | 48 | 37% |
| Buy and hold | -0.9% | -87.3% | 0.25 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (18/43) crosses above its 18-day signal line
- Sell — Sell when the MACD line crosses back below the signal line