Trend-Following Backtester · Guide · backtest 한국어
equity · GB
PZ Cussons Plc backtest
10 trend-following strategies were compared on the full daily history of PZ Cussons Plc. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.1%, MDD -10.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.0%, drawdown -84.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.1%, MDD -10.2%, Sharpe 0.75, 15% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 74.6%p (CAGR 5.1%, MDD -10.2%, exposure 15%).
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=23, mult=4 |
5.1% | -10.2% | 0.75 | 0.50 | 6.6x | 80 | 15% |
| ADX / DI 방향성 period=35, threshold=20 |
4.1% | -45.3% | 0.42 | 0.09 | 4.6x | 105 | 26% |
| 볼린저 밴드 돌파 n=21, k=2.9 |
3.9% | -61.4% | 0.41 | 0.06 | 4.2x | 144 | 19% |
| SMA 크로스오버 fast=32, slow=117 |
3.6% | -63.0% | 0.29 | 0.06 | 3.9x | 91 | 51% |
| Donchian 채널 돌파 entryN=95, exitN=53 |
3.1% | -56.3% | 0.28 | 0.06 | 3.2x | 71 | 40% |
| Supertrend period=12, mult=4.7 |
3.4% | -77.9% | 0.27 | 0.04 | 3.6x | 171 | 53% |
| MACD fast=29, slow=65, signal=17 |
2.6% | -71.2% | 0.23 | 0.04 | 2.7x | 267 | 50% |
| EMA 크로스오버 fast=51, slow=55 |
2.4% | -68.1% | 0.22 | 0.03 | 2.4x | 97 | 50% |
| ROC 모멘텀 n=142, threshold=0.13 |
1.7% | -57.4% | 0.20 | 0.03 | 1.9x | 171 | 23% |
| Parabolic SAR step=0.01, maxStep=0.08 |
1.4% | -89.4% | 0.16 | 0.02 | 1.7x | 387 | 50% |
| Buy and hold | 3.0% | -84.8% | 0.24 | 0.04 | 3.1x | 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 + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 16-day average