Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Rolls-Royce Holdings plc backtest
10 trend-following strategies were compared on the full daily history of Rolls-Royce Holdings plc. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.4%, MDD -57.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.7%, drawdown -91.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.5%, MDD -64.3%, Sharpe 0.54, 54% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 10.7%, MDD -58.6%, exposure 59%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 26.9%p (CAGR 10.4%, MDD -57.3%, exposure 59%).
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=69, exitN=59 |
10.5% | -64.3% | 0.54 | 0.16 | 44.9x | 65 | 54% |
| EMA 크로스오버 fast=44, slow=90 |
10.7% | -58.6% | 0.53 | 0.18 | 47.6x | 79 | 59% |
| SMA 크로스오버 fast=18, slow=143 |
10.4% | -57.3% | 0.52 | 0.18 | 43.4x | 95 | 59% |
| ADX / DI 방향성 period=30, threshold=32 |
2.6% | -14.9% | 0.38 | 0.18 | 2.7x | 18 | 5% |
| ROC 모멘텀 n=123, threshold=-0.02 |
5.6% | -78.8% | 0.34 | 0.07 | 7.9x | 307 | 63% |
| 볼린저 밴드 돌파 n=47, k=2.7 |
3.1% | -51.5% | 0.27 | 0.06 | 3.2x | 98 | 23% |
| Supertrend period=24, mult=4.9 |
0.1% | -97.7% | 0.16 | 0.00 | 1.0x | 171 | 58% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=24, mult=3.5 |
0.6% | -85.1% | 0.15 | 0.01 | 1.3x | 108 | 22% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.1% | -96.4% | 0.06 | -0.03 | 0.3x | 319 | 54% |
| MACD fast=13, slow=54, signal=16 |
-5.3% | -97.5% | -0.02 | -0.05 | 0.1x | 512 | 50% |
| Buy and hold | 6.7% | -91.2% | 0.37 | 0.07 | 11.6x | 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 69 days
- Sell — Sell when price breaks below the lowest low of the last 59 days