Trend-Following Backtester · Guide · backtest 한국어

equity · GB

Pennon Group Plc backtest

10 trend-following strategies were compared on the full daily history of Pennon Group Plc. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.

Data 1989-12-11 ~ 2026-07-31daily bars 9,390 (36.6 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 7.8%, drawdown -78.5%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.9%, MDD -9.5%, Sharpe 0.34, 2% exposure.

CAGR reference leader: ROC 모멘텀 — CAGR 6.9%, MDD -78.6%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=18, k=3.5
0.9%-9.5%0.340.091.4x162%
ROC 모멘텀
Hold-like · Exposure 100%
n=1, threshold=-0.13
6.9%-78.6%0.260.0911.6x13100%
Supertrend
period=15, mult=4.4
4.6%-77.8%0.210.065.2x19255%
Donchian 채널 돌파
entryN=5, exitN=47
2.7%-90.2%0.200.032.6x22985%
SMA 크로스오버
fast=58, slow=187
1.7%-54.8%0.180.031.8x5858%
EMA 크로스오버
fast=28, slow=196
1.3%-54.1%0.160.021.6x7458%
Keltner 채널 돌파
emaPeriod=15, atrPeriod=10, mult=3.8
0.5%-66.6%0.120.011.2x767%
MACD
fast=15, slow=50, signal=17
0.1%-87.7%0.120.001.0x44549%
Parabolic SAR
step=0.015, maxStep=0.12
-4.8%-98.2%0.09-0.050.2x64252%
ADX / DI 방향성
period=39, threshold=43
0.1%-6.6%0.070.011.0x20%
Buy and hold7.8%-78.5%0.270.1015.8x1100%
1x 10x 1990 1995 2000 2005 2010 2015 2020 2025 ROC 모멘텀볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), ROC 모멘텀 (CAGR reference), Buy and hold.
0% -20% -39% -59% -79% 1990 1995 2000 2005 2010 2015 2020 2025 Buy and holdROC 모멘텀볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -9.5% (1997-03-11 → 1999-05-28), prior peak not yet recovered.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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