Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Savills plc backtest
10 trend-following strategies were compared on the full daily history of Savills plc. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.0%, MDD -48.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.3%, drawdown -83.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.8%, MDD -39.8%, Sharpe 0.50, 26% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.9%, MDD -56.4%, exposure 58%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.5%p lower than buy and hold, while drawdown improves by 43.5%p (CAGR 14.0%, MDD -48.3%, exposure 58%).
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=48, atrPeriod=21, mult=4 |
6.8% | -39.8% | 0.50 | 0.17 | 12.3x | 88 | 26% |
| Supertrend period=22, mult=1.7 |
8.8% | -76.8% | 0.48 | 0.11 | 24.7x | 517 | 55% |
| 볼린저 밴드 돌파 n=44, k=2.6 |
5.9% | -38.7% | 0.44 | 0.15 | 9.0x | 107 | 27% |
| ADX / DI 방향성 period=36, threshold=37 |
2.9% | -21.4% | 0.41 | 0.14 | 3.0x | 16 | 5% |
| ROC 모멘텀 n=97, threshold=0.06 |
6.1% | -74.7% | 0.39 | 0.08 | 9.5x | 324 | 45% |
| SMA 크로스오버 fast=40, slow=216 |
14.9% | -56.4% | 0.38 | 0.26 | 197.1x | 54 | 58% |
| Donchian 채널 돌파 entryN=15, exitN=71 |
14.0% | -78.3% | 0.38 | 0.18 | 147.5x | 97 | 81% |
| EMA 크로스오버 fast=46, slow=202 |
14.0% | -48.3% | 0.37 | 0.29 | 148.2x | 36 | 58% |
| Parabolic SAR step=0.015, maxStep=0.18 |
9.2% | -86.8% | 0.29 | 0.11 | 28.3x | 557 | 50% |
| MACD fast=13, slow=55, signal=14 |
3.7% | -83.0% | 0.20 | 0.04 | 4.0x | 473 | 54% |
| Buy and hold | 11.3% | -83.3% | 0.35 | 0.14 | 58.6x | 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 48-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 48-day average