Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Yellow Cake Plc backtest
10 trend-following strategies were compared on the full daily history of Yellow Cake Plc. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.7%, drawdown -48.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.9%, MDD -4.8%, Sharpe 0.58, 1% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 7.4%, MDD -34.4%, exposure 58%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=11, k=3 |
1.9% | -4.8% | 0.58 | 0.39 | 1.2x | 2 | 1% |
| Donchian 채널 돌파 entryN=48, exitN=6 |
5.5% | -20.1% | 0.40 | 0.27 | 1.6x | 37 | 17% |
| EMA 크로스오버 fast=46, slow=213 |
7.4% | -34.4% | 0.40 | 0.22 | 1.8x | 8 | 58% |
| SMA 크로스오버 fast=7, slow=184 |
7.2% | -40.8% | 0.39 | 0.18 | 1.8x | 17 | 54% |
| ADX / DI 방향성 period=31, threshold=26 |
2.9% | -11.6% | 0.39 | 0.25 | 1.3x | 6 | 7% |
| ROC 모멘텀 n=121, threshold=-0.01 |
6.6% | -42.3% | 0.37 | 0.16 | 1.7x | 58 | 59% |
| MACD fast=20, slow=29, signal=18 |
5.8% | -32.0% | 0.35 | 0.18 | 1.6x | 95 | 47% |
| Parabolic SAR step=0.045, maxStep=0.08 |
3.8% | -49.7% | 0.27 | 0.08 | 1.4x | 187 | 52% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=15, mult=3.9 |
2.5% | -25.0% | 0.25 | 0.10 | 1.2x | 10 | 12% |
| Supertrend period=26, mult=4.1 |
0.3% | -43.6% | 0.14 | 0.01 | 1.0x | 29 | 48% |
| Buy and hold | 13.7% | -48.2% | 0.54 | 0.29 | 2.9x | 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 11-day average (3× volatility)
- Sell — Sell when the close falls back to the 11-day middle average