Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Aberforth Smaller Companies Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Aberforth Smaller Companies Trust PLC. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.2%, MDD -21.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.4%, drawdown -61.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.1%, MDD -14.0%, Sharpe 1.19, 14% exposure.
CAGR reference leader: Supertrend — CAGR 12.1%, MDD -36.4%, exposure 55%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 47.6%p (CAGR 11.2%, MDD -21.2%, exposure 45%).
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=8, atrPeriod=25, mult=2.4 |
6.1% | -14.0% | 1.19 | 0.44 | 8.4x | 134 | 14% |
| Donchian 채널 돌파 entryN=45, exitN=22 |
11.2% | -21.2% | 1.07 | 0.53 | 44.8x | 133 | 45% |
| Supertrend period=22, mult=3.9 |
12.1% | -36.4% | 1.02 | 0.33 | 59.0x | 215 | 55% |
| 볼린저 밴드 돌파 n=27, k=1.3 |
10.0% | -31.2% | 0.96 | 0.32 | 30.0x | 305 | 47% |
| ADX / DI 방향성 period=10, threshold=34 |
7.5% | -23.6% | 0.87 | 0.32 | 13.4x | 347 | 33% |
| MACD fast=19, slow=59, signal=24 |
9.3% | -34.1% | 0.79 | 0.27 | 23.9x | 275 | 51% |
| EMA 크로스오버 fast=7, slow=41 |
9.2% | -47.5% | 0.79 | 0.19 | 22.9x | 241 | 59% |
| Parabolic SAR step=0.005, maxStep=0.18 |
8.2% | -43.8% | 0.72 | 0.19 | 16.6x | 291 | 56% |
| SMA 크로스오버 fast=2, slow=120 |
8.2% | -41.2% | 0.72 | 0.20 | 16.6x | 185 | 59% |
| ROC 모멘텀 n=120, threshold=-0.01 |
5.6% | -38.0% | 0.49 | 0.15 | 6.9x | 215 | 65% |
| Buy and hold | 8.4% | -61.5% | 0.52 | 0.14 | 17.7x | 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 8-day average + 2.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 8-day average