Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Paragon Banking Group PLC backtest
10 trend-following strategies were compared on the full daily history of Paragon Banking Group PLC. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.0%, MDD -25.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.7%, drawdown -99.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.0%, MDD -25.9%, Sharpe 0.71, 9% exposure.
CAGR reference leader: Supertrend — CAGR 14.2%, MDD -74.0%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 73.3%p (CAGR 11.0%, MDD -25.9%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=10, k=2.6 |
11.0% | -25.9% | 0.71 | 0.43 | 53.1x | 144 | 9% |
| ADX / DI 방향성 period=8, threshold=37 |
12.5% | -36.1% | 0.61 | 0.35 | 88.9x | 352 | 21% |
| Supertrend period=16, mult=2.1 |
14.2% | -74.0% | 0.58 | 0.19 | 158.5x | 503 | 49% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=19, mult=3.4 |
10.5% | -40.3% | 0.54 | 0.26 | 44.6x | 130 | 30% |
| EMA 크로스오버 fast=10, slow=103 |
10.7% | -54.3% | 0.52 | 0.20 | 47.6x | 147 | 53% |
| Donchian 채널 돌파 entryN=140, exitN=44 |
9.2% | -41.3% | 0.51 | 0.22 | 28.5x | 64 | 33% |
| ROC 모멘텀 n=152, threshold=0.01 |
9.7% | -56.1% | 0.48 | 0.17 | 33.4x | 254 | 54% |
| SMA 크로스오버 fast=7, slow=148 |
9.6% | -51.3% | 0.48 | 0.19 | 33.0x | 129 | 53% |
| Parabolic SAR step=0.015, maxStep=0.32 |
8.0% | -81.4% | 0.40 | 0.10 | 19.0x | 559 | 50% |
| MACD fast=12, slow=38, signal=21 |
2.9% | -91.3% | 0.25 | 0.03 | 3.0x | 437 | 50% |
| Buy and hold | -0.7% | -99.2% | 0.22 | -0.01 | 0.8x | 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 10-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 10-day middle average