Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Aberdeen Asia Focus PLC backtest
10 trend-following strategies were compared on the full daily history of Aberdeen Asia Focus PLC. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.3%, MDD -21.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.2%, drawdown -94.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.8%, MDD -26.8%, Sharpe 0.82, 48% exposure.
CAGR reference leader: Parabolic SAR — CAGR 11.4%, MDD -41.7%, exposure 56%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 67.7%p (CAGR 8.3%, MDD -21.8%, exposure 31%).
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=62, exitN=32 |
9.8% | -26.8% | 0.82 | 0.37 | 18.1x | 78 | 48% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=14, mult=3.5 |
8.3% | -21.8% | 0.81 | 0.38 | 11.6x | 66 | 31% |
| Supertrend period=20, mult=5 |
9.8% | -36.1% | 0.71 | 0.27 | 17.9x | 101 | 60% |
| 볼린저 밴드 돌파 n=22, k=2.5 |
6.0% | -23.1% | 0.70 | 0.26 | 6.0x | 146 | 24% |
| ADX / DI 방향성 period=31, threshold=14 |
7.2% | -32.9% | 0.65 | 0.22 | 8.5x | 194 | 40% |
| SMA 크로스오버 fast=52, slow=56 |
6.4% | -42.0% | 0.48 | 0.15 | 6.7x | 251 | 60% |
| EMA 크로스오버 fast=41, slow=55 |
5.9% | -80.4% | 0.46 | 0.07 | 5.9x | 67 | 60% |
| ROC 모멘텀 n=146, threshold=0.07 |
4.5% | -84.1% | 0.40 | 0.05 | 3.9x | 135 | 45% |
| Parabolic SAR step=0.005, maxStep=0.32 |
11.4% | -41.7% | 0.26 | 0.27 | 28.1x | 249 | 56% |
| MACD fast=16, slow=55, signal=23 |
10.3% | -45.6% | 0.25 | 0.23 | 20.8x | 281 | 53% |
| Buy and hold | 5.2% | -94.5% | 0.26 | 0.06 | 4.8x | 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 62 days
- Sell — Sell when price breaks below the lowest low of the last 32 days