Trend-Following Backtester · Guide · backtest 한국어

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Volex plc backtest

10 trend-following strategies were compared on the full daily history of Volex plc. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.6%, MDD -33.4%).

Data 1988-07-01 ~ 2026-07-31daily bars 9,766 (38.1 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 1.3%, drawdown -99.2%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 16.6%, MDD -33.4%, Sharpe 0.93, 29% exposure.

CAGR reference leader: Parabolic SAR — CAGR 20.1%, MDD -76.4%, exposure 52%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.4%p higher than buy and hold, while drawdown improves by 65.9%p (CAGR 16.6%, MDD -33.4%, exposure 29%).

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
Keltner 채널 돌파
emaPeriod=41, atrPeriod=13, mult=3.7
16.6%-33.4%0.930.50350.2x10429%
볼린저 밴드 돌파
n=20, k=1.7
19.1%-73.4%0.840.26770.7x35036%
Donchian 채널 돌파
entryN=23, exitN=7
18.6%-69.5%0.840.27653.9x31633%
Parabolic SAR
step=0.015, maxStep=0.14
20.1%-76.4%0.780.261079.8x48652%
EMA 크로스오버
fast=10, slow=29
19.3%-77.2%0.770.25817.4x25052%
ADX / DI 방향성
period=23, threshold=16
17.3%-68.3%0.760.25434.9x29443%
Supertrend
period=19, mult=3.6
19.7%-79.4%0.760.25947.1x24656%
SMA 크로스오버
fast=11, slow=53
14.2%-84.2%0.600.17155.0x18452%
ROC 모멘텀
n=71, threshold=0.04
12.5%-76.0%0.590.1689.7x29446%
MACD
fast=22, slow=51, signal=7
9.7%-94.5%0.450.1033.9x47452%
Buy and hold1.3%-99.2%0.240.011.6x1100%
0.1 1x 10x 100x 1,000x 1989 1994 1999 2004 2009 2014 2019 2024 Parabolic SARKeltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), Parabolic SAR (CAGR reference), Buy and hold.
0% -25% -50% -74% -99% 1989 1994 1999 2004 2009 2014 2019 2024 Buy and holdParabolic SARKeltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -33.4% (2000-10-31 → 2003-12-08), recovered after 1,709 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

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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