Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Quilter Plc backtest
10 trend-following strategies were compared on the full daily history of Quilter Plc. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 3.2%, MDD -24.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.0%, drawdown -65.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.0%, MDD -28.4%, Sharpe 0.43, 54% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 3.2%, MDD -24.7%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=192, threshold=0.02 |
7.0% | -28.4% | 0.43 | 0.25 | 1.7x | 37 | 54% |
| SMA 크로스오버 fast=58, slow=92 |
5.7% | -45.3% | 0.36 | 0.13 | 1.6x | 17 | 52% |
| MACD fast=8, slow=59, signal=17 |
4.8% | -38.8% | 0.33 | 0.12 | 1.5x | 104 | 50% |
| Parabolic SAR step=0.015, maxStep=0.16 |
3.2% | -24.7% | 0.25 | 0.13 | 1.3x | 156 | 54% |
| Donchian 채널 돌파 entryN=98, exitN=53 |
2.5% | -40.0% | 0.22 | 0.06 | 1.2x | 11 | 40% |
| EMA 크로스오버 fast=58, slow=166 |
1.2% | -52.5% | 0.17 | 0.02 | 1.1x | 9 | 54% |
| ADX / DI 방향성 period=33, threshold=34 |
0.1% | -1.1% | 0.16 | 0.11 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=29, mult=4 |
0.3% | -7.0% | 0.10 | 0.04 | 1.0x | 2 | 1% |
| Supertrend period=26, mult=3.9 |
-0.4% | -52.6% | 0.10 | -0.01 | 1.0x | 31 | 60% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
0.2% | -7.0% | 0.07 | 0.03 | 1.0x | 2 | 2% |
| Buy and hold | 1.0% | -65.0% | 0.19 | 0.02 | 1.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 192-day return is greater than 2%
- Sell — Sell when the 192-day return drops to 2% or below