Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Weir PLC backtest
10 trend-following strategies were compared on the full daily history of Weir PLC. 1 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 9.1%, MDD -53.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.8%, drawdown -75.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.1%, MDD -53.0%, Sharpe 0.45, 83% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 22.9%p (CAGR 9.1%, MDD -53.0%, exposure 83%).
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=20, exitN=76 |
9.1% | -53.0% | 0.45 | 0.17 | 27.8x | 99 | 83% |
| SMA 크로스오버 fast=41, slow=82 |
7.1% | -66.4% | 0.42 | 0.11 | 13.9x | 129 | 59% |
| Supertrend period=19, mult=4.3 |
6.0% | -53.5% | 0.37 | 0.11 | 9.2x | 221 | 54% |
| ROC 모멘텀 n=66, threshold=-0.04 |
6.4% | -69.5% | 0.37 | 0.09 | 10.9x | 355 | 70% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=20, mult=3.7 |
1.6% | -42.8% | 0.31 | 0.04 | 1.8x | 72 | 7% |
| EMA 크로스오버 fast=31, slow=69 |
4.5% | -82.5% | 0.31 | 0.05 | 5.4x | 127 | 60% |
| Parabolic SAR step=0.005, maxStep=0.02 |
3.4% | -65.7% | 0.26 | 0.05 | 3.6x | 201 | 58% |
| 볼린저 밴드 돌파 n=54, k=1.8 |
1.3% | -55.1% | 0.16 | 0.02 | 1.6x | 191 | 39% |
| ADX / DI 방향성 period=34, threshold=12 |
0.3% | -73.6% | 0.11 | 0.00 | 1.1x | 345 | 44% |
| MACD fast=21, slow=38, signal=7 |
-2.6% | -93.7% | 0.00 | -0.03 | 0.4x | 653 | 50% |
| Buy and hold | 8.8% | -75.9% | 0.42 | 0.12 | 25.0x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 76 days