Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Tatton Asset Management Plc backtest
10 trend-following strategies were compared on the full daily history of Tatton Asset Management Plc. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 15.8%, drawdown -46.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.6%, MDD -12.9%, Sharpe 0.72, 13% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 16.5%, MDD -44.3%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=19, k=3.2 |
8.6% | -12.9% | 0.72 | 0.67 | 2.1x | 20 | 13% |
| ROC 모멘텀 Hold-like · Exposure 99% n=4, threshold=-0.1 |
16.5% | -44.3% | 0.63 | 0.37 | 4.0x | 13 | 99% |
| MACD fast=12, slow=55, signal=16 |
12.9% | -39.2% | 0.63 | 0.33 | 3.0x | 102 | 48% |
| Supertrend period=22, mult=4.1 |
11.9% | -38.2% | 0.58 | 0.31 | 2.8x | 27 | 65% |
| ADX / DI 방향성 period=12, threshold=33 |
6.1% | -26.2% | 0.55 | 0.23 | 1.7x | 45 | 15% |
| Donchian 채널 돌파 entryN=13, exitN=72 |
11.9% | -40.2% | 0.53 | 0.30 | 2.8x | 21 | 84% |
| EMA 크로스오버 fast=10, slow=125 |
10.7% | -31.6% | 0.53 | 0.34 | 2.5x | 27 | 63% |
| SMA 크로스오버 fast=38, slow=193 |
10.4% | -48.4% | 0.51 | 0.21 | 2.4x | 13 | 62% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=21, mult=0.8 |
6.6% | -31.9% | 0.39 | 0.21 | 1.8x | 63 | 53% |
| Parabolic SAR step=0.01, maxStep=0.4 |
5.3% | -50.7% | 0.34 | 0.10 | 1.6x | 112 | 52% |
| Buy and hold | 15.8% | -46.1% | 0.61 | 0.34 | 3.8x | 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 19-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 19-day middle average