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. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -52.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR -3.6%, drawdown -93.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.6%, MDD -55.1%, Sharpe 0.23, 33% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 37.9%p (CAGR -0.0%, MDD -52.7%, exposure 16%).
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=106, exitN=73 |
2.6% | -55.1% | 0.23 | 0.05 | 2.7x | 46 | 33% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=24, mult=3.4 |
1.7% | -55.6% | 0.18 | 0.03 | 1.9x | 102 | 21% |
| 볼린저 밴드 돌파 n=47, k=2.4 |
0.9% | -66.6% | 0.14 | 0.01 | 1.4x | 120 | 24% |
| Supertrend period=16, mult=5 |
-0.9% | -84.2% | 0.08 | -0.01 | 0.7x | 159 | 49% |
| SMA 크로스오버 fast=8, slow=99 |
-1.0% | -71.8% | 0.07 | -0.01 | 0.7x | 185 | 48% |
| ADX / DI 방향성 period=38, threshold=31 |
-0.0% | -52.7% | 0.06 | -0.00 | 1.0x | 16 | 16% |
| EMA 크로스오버 fast=24, slow=91 |
-1.4% | -76.4% | 0.05 | -0.02 | 0.6x | 124 | 49% |
| MACD fast=28, slow=55, signal=16 |
-7.1% | -98.7% | -0.15 | -0.07 | 0.1x | 373 | 51% |
| ROC 모멘텀 n=97, threshold=-0.02 |
-6.5% | -96.0% | -0.16 | -0.07 | 0.1x | 461 | 53% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-7.5% | -98.5% | -0.18 | -0.08 | 0.1x | 648 | 48% |
| Buy and hold | -3.6% | -93.0% | 0.09 | -0.04 | 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 106 days
- Sell — Sell when price breaks below the lowest low of the last 73 days