Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Rank Group Plc backtest
10 trend-following strategies were compared on the full daily history of Rank Group Plc. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.7%, MDD -28.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.2%, drawdown -93.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.2%, MDD -55.2%, Sharpe 0.26, 37% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 37.9%p (CAGR 1.7%, MDD -28.5%, exposure 8%).
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=84, exitN=72 |
3.2% | -55.2% | 0.26 | 0.06 | 3.3x | 50 | 37% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
1.7% | -28.5% | 0.23 | 0.06 | 1.9x | 28 | 8% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=26, mult=3.6 |
1.7% | -53.9% | 0.19 | 0.03 | 1.9x | 96 | 21% |
| ADX / DI 방향성 period=24, threshold=30 |
1.5% | -49.5% | 0.18 | 0.03 | 1.8x | 46 | 20% |
| ROC 모멘텀 n=16, threshold=0.23 |
0.5% | -40.9% | 0.10 | 0.01 | 1.2x | 68 | 2% |
| Supertrend period=16, mult=5 |
-1.2% | -84.2% | 0.07 | -0.01 | 0.6x | 160 | 49% |
| SMA 크로스오버 fast=39, slow=127 |
-1.4% | -79.2% | 0.06 | -0.02 | 0.6x | 82 | 49% |
| EMA 크로스오버 fast=31, slow=39 |
-1.7% | -77.8% | 0.04 | -0.02 | 0.5x | 166 | 48% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-7.3% | -98.5% | -0.18 | -0.07 | 0.1x | 646 | 48% |
| MACD fast=19, slow=35, signal=19 |
-7.9% | -98.2% | -0.18 | -0.08 | 0.0x | 460 | 50% |
| Buy and hold | -4.2% | -93.0% | 0.08 | -0.05 | 0.2x | 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 84 days
- Sell — Sell when price breaks below the lowest low of the last 72 days