Trend-Following Backtester · Guide · backtest 한국어
equity · US
Super Group (SGHC) Limited backtest
10 trend-following strategies were compared on the full daily history of Super Group (SGHC) Limited. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.7%, MDD -7.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.8%, drawdown -78.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.4%, MDD -39.8%, Sharpe 0.72, 39% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.7%p higher than buy and hold, while drawdown improves by 38.7%p (CAGR 5.7%, MDD -7.3%, exposure 3%).
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=96, exitN=68 |
18.4% | -39.8% | 0.72 | 0.46 | 2.7x | 5 | 39% |
| ROC 모멘텀 n=130, threshold=0.24 |
15.3% | -36.9% | 0.69 | 0.42 | 2.3x | 19 | 24% |
| ADX / DI 방향성 period=20, threshold=22 |
13.3% | -29.2% | 0.69 | 0.46 | 2.1x | 24 | 22% |
| EMA 크로스오버 fast=54, slow=163 |
16.1% | -41.6% | 0.66 | 0.39 | 2.4x | 9 | 40% |
| 볼린저 밴드 돌파 n=14, k=3 |
5.7% | -7.3% | 0.64 | 0.78 | 1.4x | 5 | 3% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=12, mult=3.7 |
5.2% | -7.1% | 0.57 | 0.74 | 1.3x | 6 | 4% |
| Supertrend period=10, mult=2.8 |
13.3% | -53.3% | 0.52 | 0.25 | 2.1x | 38 | 57% |
| SMA 크로스오버 fast=55, slow=213 |
10.6% | -45.9% | 0.48 | 0.23 | 1.8x | 7 | 43% |
| Parabolic SAR step=0.005, maxStep=0.16 |
9.5% | -62.5% | 0.44 | 0.15 | 1.7x | 48 | 48% |
| MACD fast=8, slow=58, signal=31 |
-5.1% | -78.3% | 0.06 | -0.06 | 0.7x | 66 | 52% |
| Buy and hold | 5.8% | -78.5% | 0.37 | 0.07 | 1.4x | 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 96 days
- Sell — Sell when price breaks below the lowest low of the last 68 days