Trend-Following Backtester · Guide · backtest 한국어

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Shaftesbury Capital PLC backtest

10 trend-following strategies were compared on the full daily history of Shaftesbury Capital PLC. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.9%, MDD -9.8%).

Data 2007-11-01 ~ 2026-07-31daily bars 4,736 (18.7 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR -10.6%, drawdown -91.8%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.9%, MDD -9.8%, Sharpe 0.52, 3% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.5%p higher than buy and hold, while drawdown improves by 82.0%p (CAGR 1.9%, MDD -9.8%, exposure 3%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=22, k=3.3
1.9%-9.8%0.520.201.4x83%
ADX / DI 방향성
period=44, threshold=31
1.3%-14.9%0.440.091.3x21%
Donchian 채널 돌파
entryN=101, exitN=58
1.0%-49.0%0.140.021.2x2441%
Keltner 채널 돌파
emaPeriod=26, atrPeriod=22, mult=3.3
0.1%-25.5%0.060.011.0x3610%
ROC 모멘텀
n=116, threshold=0.04
-1.2%-63.1%0.00-0.020.8x17441%
SMA 크로스오버
fast=16, slow=121
-5.1%-80.8%-0.02-0.060.4x6148%
Supertrend
period=20, mult=5
-6.1%-81.3%-0.05-0.080.3x4443%
EMA 크로스오버
fast=48, slow=51
-7.5%-82.4%-0.13-0.090.2x5948%
MACD
fast=19, slow=56, signal=15
-8.7%-83.9%-0.29-0.100.2x20353%
Parabolic SAR
step=0.025, maxStep=0.34
-12.4%-92.0%-0.47-0.140.1x49349%
Buy and hold-10.6%-91.8%-0.08-0.120.1x1100%
0.1 1x 2008 2011 2014 2017 2020 2023 2026 볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -46% -69% -92% 2008 2011 2014 2017 2020 2023 2026 Buy and hold볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -9.8% (2010-11-05 → 2012-06-26), recovered after 846 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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