Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Bellway p.l.c. backtest
10 trend-following strategies were compared on the full daily history of Bellway p.l.c.. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.8%, MDD -57.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.6%, drawdown -77.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.4%, MDD -14.0%, Sharpe 1.02, 5% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.9%, MDD -65.4%, exposure 96%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Supertrend — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 63.7%p (CAGR 8.8%, MDD -57.8%, exposure 59%).
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=7, atrPeriod=15, mult=3.7 |
4.4% | -14.0% | 1.02 | 0.31 | 5.1x | 44 | 5% |
| 볼린저 밴드 돌파 n=19, k=3.5 |
2.1% | -7.1% | 0.72 | 0.30 | 2.2x | 14 | 3% |
| Supertrend period=18, mult=4.3 |
8.8% | -57.8% | 0.50 | 0.15 | 24.4x | 211 | 59% |
| ROC 모멘텀 Hold-like · Exposure 96% n=15, threshold=-0.13 |
9.9% | -65.4% | 0.47 | 0.15 | 36.4x | 141 | 96% |
| Donchian 채널 돌파 entryN=3, exitN=52 |
9.2% | -78.6% | 0.45 | 0.12 | 28.9x | 237 | 90% |
| Parabolic SAR step=0.045, maxStep=0.24 |
7.3% | -92.1% | 0.43 | 0.08 | 14.8x | 1151 | 52% |
| MACD fast=3, slow=28, signal=17 |
4.9% | -88.2% | 0.33 | 0.06 | 6.3x | 879 | 50% |
| EMA 크로스오버 fast=6, slow=209 |
4.1% | -54.3% | 0.29 | 0.07 | 4.5x | 132 | 63% |
| SMA 크로스오버 fast=36, slow=200 |
3.8% | -62.8% | 0.28 | 0.06 | 4.1x | 62 | 62% |
| ADX / DI 방향성 period=35, threshold=23 |
1.6% | -44.5% | 0.25 | 0.04 | 1.8x | 74 | 13% |
| Buy and hold | 7.6% | -77.6% | 0.39 | 0.10 | 16.5x | 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 7-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average