Trend-Following Backtester · Guide · backtest 한국어
equity · GB
RS Group PLC backtest
10 trend-following strategies were compared on the full daily history of RS Group PLC. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 4.7%, MDD -61.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.3%, drawdown -85.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.3%, MDD -12.3%, Sharpe 0.38, 4% exposure.
CAGR reference leader: Supertrend — CAGR 4.7%, MDD -61.0%, exposure 51%.
Return/drawdown alternative: Supertrend — CAGR is 4.0%p lower than buy and hold, while drawdown improves by 73.5%p (CAGR 4.7%, MDD -61.0%, exposure 51%).
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=10, atrPeriod=12, mult=4 |
1.3% | -12.3% | 0.38 | 0.11 | 1.7x | 44 | 4% |
| Supertrend period=8, mult=3.1 |
4.7% | -61.0% | 0.32 | 0.08 | 5.7x | 313 | 51% |
| Donchian 채널 돌파 entryN=41, exitN=64 |
3.8% | -71.4% | 0.28 | 0.05 | 4.2x | 81 | 64% |
| SMA 크로스오버 fast=40, slow=210 |
3.4% | -60.4% | 0.27 | 0.06 | 3.6x | 61 | 58% |
| MACD fast=20, slow=48, signal=22 |
3.3% | -62.1% | 0.26 | 0.05 | 3.5x | 359 | 50% |
| EMA 크로스오버 fast=7, slow=207 |
3.2% | -58.8% | 0.26 | 0.05 | 3.3x | 117 | 56% |
| ROC 모멘텀 n=112, threshold=-0.12 |
2.4% | -87.5% | 0.22 | 0.03 | 2.5x | 219 | 79% |
| 볼린저 밴드 돌파 n=50, k=1.3 |
1.3% | -70.4% | 0.16 | 0.02 | 1.6x | 231 | 42% |
| ADX / DI 방향성 period=45, threshold=26 |
0.8% | -20.9% | 0.15 | 0.04 | 1.4x | 20 | 7% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-4.9% | -93.9% | -0.14 | -0.05 | 0.1x | 677 | 51% |
| Buy and hold | 5.3% | -85.8% | 0.32 | 0.06 | 7.2x | 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 10-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 10-day average