Trend-Following Backtester · Guide · backtest 한국어
equity · GB
YouGov plc backtest
10 trend-following strategies were compared on the full daily history of YouGov plc. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.2%, MDD -12.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 10.7%, drawdown -90.4%).
Sharpe leader (same as main): Supertrend — CAGR 26.5%, MDD -60.9%, Sharpe 1.05, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.8%p higher than buy and hold, while drawdown improves by 29.5%p (CAGR 9.2%, MDD -12.6%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=1.3 |
26.5% | -60.9% | 1.05 | 0.44 | 151.5x | 282 | 53% |
| 볼린저 밴드 돌파 n=11, k=3.1 |
9.2% | -12.6% | 1.01 | 0.74 | 6.6x | 46 | 8% |
| Parabolic SAR step=0.025, maxStep=0.16 |
25.6% | -60.5% | 1.01 | 0.42 | 129.6x | 427 | 50% |
| ADX / DI 방향성 period=15, threshold=8 |
19.4% | -67.8% | 0.84 | 0.29 | 44.3x | 343 | 56% |
| MACD fast=9, slow=26, signal=7 |
20.8% | -70.6% | 0.83 | 0.29 | 56.4x | 392 | 49% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=7, mult=1.3 |
16.4% | -58.1% | 0.80 | 0.28 | 25.6x | 103 | 48% |
| EMA 크로스오버 fast=57, slow=111 |
16.9% | -51.6% | 0.75 | 0.33 | 28.0x | 25 | 57% |
| ROC 모멘텀 n=140, threshold=0.07 |
14.5% | -56.2% | 0.73 | 0.26 | 18.0x | 113 | 51% |
| SMA 크로스오버 fast=29, slow=195 |
13.3% | -53.1% | 0.64 | 0.25 | 14.3x | 27 | 56% |
| Donchian 채널 돌파 entryN=111, exitN=52 |
10.9% | -54.1% | 0.59 | 0.20 | 9.1x | 31 | 49% |
| Buy and hold | 10.7% | -90.4% | 0.46 | 0.12 | 8.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 1.3× band
- Sell — Sell when price drops below the trend line (flips down)