Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Persimmon Plc backtest
10 trend-following strategies were compared on the full daily history of Persimmon Plc. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.3%, MDD -64.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.4%, drawdown -88.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.0%, MDD -32.6%, Sharpe 0.44, 12% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.3%, MDD -64.3%, exposure 60%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 55.5%p (CAGR 7.3%, MDD -64.3%, exposure 60%).
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=16, atrPeriod=17, mult=3.1 |
4.0% | -32.6% | 0.44 | 0.12 | 4.4x | 116 | 12% |
| Donchian 채널 돌파 entryN=22, exitN=28 |
7.3% | -64.3% | 0.41 | 0.11 | 14.7x | 190 | 60% |
| Supertrend period=9, mult=2.2 |
5.9% | -81.9% | 0.35 | 0.07 | 8.8x | 489 | 51% |
| SMA 크로스오버 fast=54, slow=212 |
4.9% | -72.7% | 0.32 | 0.07 | 6.1x | 62 | 59% |
| 볼린저 밴드 돌파 n=50, k=1.5 |
4.0% | -59.2% | 0.30 | 0.07 | 4.5x | 206 | 41% |
| EMA 크로스오버 fast=57, slow=264 |
4.1% | -66.1% | 0.29 | 0.06 | 4.7x | 38 | 62% |
| ROC 모멘텀 n=101, threshold=-0.04 |
1.9% | -72.2% | 0.20 | 0.03 | 2.1x | 302 | 64% |
| ADX / DI 방향성 period=22, threshold=19 |
1.9% | -46.3% | 0.19 | 0.04 | 2.0x | 296 | 30% |
| MACD fast=13, slow=48, signal=19 |
0.0% | -90.4% | 0.12 | 0.00 | 1.0x | 485 | 51% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-2.4% | -96.9% | 0.02 | -0.02 | 0.4x | 773 | 51% |
| Buy and hold | 5.4% | -88.1% | 0.32 | 0.06 | 7.4x | 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 16-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 16-day average