Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Plus500 Ltd. backtest
10 trend-following strategies were compared on the full daily history of Plus500 Ltd.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 36.7%, MDD -52.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 30.1%, drawdown -75.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 36.7%, MDD -52.7%, Sharpe 1.02, 74% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 23.0%p (CAGR 36.7%, MDD -52.7%, exposure 74%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=24, exitN=61 |
36.7% | -52.7% | 1.02 | 0.70 | 60.1x | 24 | 74% |
| ROC 모멘텀 n=64, threshold=-0.04 |
33.5% | -54.0% | 0.98 | 0.62 | 44.1x | 92 | 72% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=18, mult=2.1 |
19.1% | -36.9% | 0.90 | 0.52 | 9.9x | 70 | 28% |
| EMA 크로스오버 fast=31, slow=53 |
26.9% | -54.9% | 0.85 | 0.49 | 22.6x | 30 | 66% |
| 볼린저 밴드 돌파 n=37, k=2 |
20.8% | -34.9% | 0.85 | 0.60 | 11.9x | 78 | 42% |
| SMA 크로스오버 fast=44, slow=71 |
25.7% | -67.8% | 0.80 | 0.38 | 19.9x | 48 | 65% |
| Supertrend period=18, mult=2.3 |
22.4% | -62.1% | 0.79 | 0.36 | 14.1x | 106 | 55% |
| ADX / DI 방향성 period=28, threshold=23 |
15.2% | -35.1% | 0.75 | 0.43 | 6.4x | 38 | 15% |
| MACD fast=22, slow=50, signal=16 |
13.8% | -66.6% | 0.58 | 0.21 | 5.4x | 138 | 52% |
| Parabolic SAR step=0.035, maxStep=0.18 |
11.8% | -54.6% | 0.51 | 0.22 | 4.3x | 372 | 55% |
| Buy and hold | 30.1% | -75.7% | 0.81 | 0.40 | 31.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 24 days
- Sell — Sell when price breaks below the lowest low of the last 61 days