Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Telecom Plus PLC backtest
10 trend-following strategies were compared on the full daily history of Telecom Plus PLC. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.7%, MDD -30.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.5%, drawdown -76.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.7%, MDD -30.4%, Sharpe 0.68, 43% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 45.9%p (CAGR 13.7%, MDD -30.4%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=116, exitN=68 |
13.7% | -30.4% | 0.68 | 0.45 | 28.4x | 22 | 43% |
| EMA 크로스오버 fast=26, slow=175 |
11.5% | -53.0% | 0.56 | 0.22 | 17.0x | 44 | 55% |
| SMA 크로스오버 fast=26, slow=213 |
10.5% | -67.9% | 0.52 | 0.15 | 13.4x | 40 | 54% |
| Keltner 채널 돌파 emaPeriod=125, atrPeriod=35, mult=2.6 |
9.0% | -42.3% | 0.52 | 0.21 | 9.4x | 52 | 40% |
| Supertrend period=9, mult=5 |
10.0% | -67.1% | 0.49 | 0.15 | 11.8x | 58 | 58% |
| ROC 모멘텀 n=128, threshold=0.09 |
7.0% | -49.6% | 0.42 | 0.14 | 5.9x | 154 | 42% |
| ADX / DI 방향성 period=23, threshold=28 |
3.8% | -26.4% | 0.35 | 0.14 | 2.7x | 50 | 13% |
| 볼린저 밴드 돌파 n=50, k=2.4 |
4.6% | -47.5% | 0.34 | 0.10 | 3.2x | 78 | 27% |
| Parabolic SAR step=0.015, maxStep=0.08 |
0.3% | -64.5% | 0.14 | 0.01 | 1.1x | 405 | 53% |
| MACD fast=15, slow=34, signal=18 |
-2.1% | -71.2% | 0.04 | -0.03 | 0.6x | 329 | 51% |
| Buy and hold | 5.5% | -76.3% | 0.33 | 0.07 | 4.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 116 days
- Sell — Sell when price breaks below the lowest low of the last 68 days