Trend-Following Backtester · Guide · backtest 한국어
equity · GB
TP ICAP Group plc backtest
10 trend-following strategies were compared on the full daily history of TP ICAP Group plc. 4 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 3.9%, MDD -36.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.9%, drawdown -83.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.9%, MDD -36.9%, Sharpe 0.31, 15% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.5%, MDD -55.0%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 46.2%p (CAGR 3.9%, MDD -36.9%, exposure 15%).
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=2.7 |
3.9% | -36.9% | 0.31 | 0.10 | 2.6x | 92 | 15% |
| SMA 크로스오버 fast=52, slow=146 |
4.5% | -55.0% | 0.29 | 0.08 | 3.1x | 41 | 55% |
| Donchian 채널 돌파 entryN=134, exitN=44 |
3.2% | -45.5% | 0.27 | 0.07 | 2.3x | 37 | 31% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=22, mult=3.2 |
2.2% | -42.4% | 0.21 | 0.05 | 1.7x | 89 | 24% |
| MACD fast=19, slow=54, signal=15 |
1.1% | -77.9% | 0.18 | 0.01 | 1.3x | 266 | 51% |
| EMA 크로스오버 fast=24, slow=107 |
1.1% | -67.8% | 0.17 | 0.02 | 1.3x | 67 | 54% |
| Supertrend period=5, mult=4.3 |
1.0% | -76.3% | 0.17 | 0.01 | 1.3x | 165 | 50% |
| ADX / DI 방향성 period=30, threshold=22 |
0.2% | -47.8% | 0.08 | 0.00 | 1.1x | 72 | 14% |
| ROC 모멘텀 n=128, threshold=0.02 |
-1.3% | -72.2% | 0.05 | -0.02 | 0.7x | 191 | 50% |
| Parabolic SAR step=0.035, maxStep=0.2 |
-6.1% | -88.4% | -0.09 | -0.07 | 0.2x | 728 | 52% |
| Buy and hold | 1.9% | -83.1% | 0.25 | 0.02 | 1.6x | 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 (2.7× volatility)
- Sell — Sell when the close falls back to the 19-day middle average