Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Schroders PLC backtest
10 trend-following strategies were compared on the full daily history of Schroders PLC. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.9%, MDD -64.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.2%, drawdown -80.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.0%, MDD -28.6%, Sharpe 0.48, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 18.9%, MDD -64.0%, exposure 60%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 19.2%p lower than buy and hold, while drawdown improves by 51.7%p (CAGR 18.9%, MDD -64.0%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=21, k=3.5 |
2.0% | -28.6% | 0.48 | 0.07 | 2.1x | 34 | 5% |
| Donchian 채널 돌파 entryN=108, exitN=9 |
4.9% | -52.1% | 0.44 | 0.09 | 6.2x | 154 | 22% |
| SMA 크로스오버 fast=69, slow=135 |
18.9% | -64.0% | 0.37 | 0.30 | 732.6x | 67 | 60% |
| EMA 크로스오버 fast=26, slow=209 |
18.6% | -69.2% | 0.37 | 0.27 | 667.2x | 55 | 64% |
| Supertrend period=15, mult=3 |
15.9% | -64.9% | 0.36 | 0.25 | 279.3x | 273 | 56% |
| ROC 모멘텀 n=137, threshold=-0.01 |
14.7% | -76.7% | 0.33 | 0.19 | 183.7x | 277 | 62% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=29, mult=3.3 |
14.0% | -43.6% | 0.33 | 0.32 | 145.2x | 111 | 32% |
| ADX / DI 방향성 period=18, threshold=17 |
10.2% | -77.4% | 0.28 | 0.13 | 39.9x | 401 | 43% |
| Parabolic SAR step=0.015, maxStep=0.1 |
6.0% | -96.7% | 0.23 | 0.06 | 9.3x | 594 | 54% |
| MACD fast=19, slow=31, signal=17 |
4.3% | -86.9% | 0.21 | 0.05 | 5.0x | 462 | 49% |
| Buy and hold | 21.2% | -80.3% | 0.42 | 0.26 | 1495.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 21-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 21-day middle average