Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Vistry Group PLC backtest
10 trend-following strategies were compared on the full daily history of Vistry Group PLC. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.8%, MDD -28.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.6%, drawdown -84.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.6%, MDD -41.1%, Sharpe 0.29, 19% exposure.
CAGR reference leader: Supertrend — CAGR 3.3%, MDD -65.1%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 1.8%, MDD -28.0%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=21, mult=3.7 |
2.6% | -41.1% | 0.29 | 0.06 | 2.1x | 78 | 19% |
| 볼린저 밴드 돌파 n=58, k=3.4 |
1.8% | -28.0% | 0.27 | 0.06 | 1.7x | 20 | 9% |
| Supertrend period=5, mult=3.2 |
3.3% | -65.1% | 0.26 | 0.05 | 2.6x | 203 | 55% |
| Donchian 채널 돌파 entryN=70, exitN=77 |
2.6% | -56.6% | 0.23 | 0.05 | 2.1x | 44 | 59% |
| SMA 크로스오버 fast=57, slow=185 |
2.0% | -65.5% | 0.20 | 0.03 | 1.8x | 42 | 57% |
| ROC 모멘텀 n=31, threshold=-0.04 |
1.1% | -76.7% | 0.18 | 0.01 | 1.4x | 415 | 69% |
| EMA 크로스오버 fast=65, slow=264 |
1.1% | -71.0% | 0.16 | 0.01 | 1.4x | 28 | 59% |
| MACD fast=14, slow=36, signal=12 |
-0.1% | -77.5% | 0.12 | -0.00 | 1.0x | 411 | 50% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-2.0% | -93.6% | 0.04 | -0.02 | 0.6x | 535 | 52% |
| ADX / DI 방향성 period=13, threshold=27 |
-0.3% | -52.7% | 0.04 | -0.01 | 0.9x | 242 | 24% |
| Buy and hold | 1.6% | -84.8% | 0.22 | 0.02 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 36-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 36-day average