Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Schroder Asian Total Return Investment Company plc backtest
10 trend-following strategies were compared on the full daily history of Schroder Asian Total Return Investment Company plc. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.6%, MDD -37.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.9%, drawdown -70.6%).
Sharpe leader (same as main): Supertrend — CAGR 11.6%, MDD -37.1%, Sharpe 0.78, 56% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.7%, MDD -44.4%, exposure 71%.
Return/drawdown alternative: Supertrend — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 33.4%p (CAGR 11.6%, MDD -37.1%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=29, mult=5 |
11.6% | -37.1% | 0.78 | 0.31 | 69.5x | 187 | 56% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=9, mult=2.9 |
9.0% | -34.2% | 0.77 | 0.26 | 28.4x | 166 | 33% |
| EMA 크로스오버 fast=41, slow=55 |
11.4% | -36.1% | 0.74 | 0.31 | 64.2x | 101 | 61% |
| Donchian 채널 돌파 entryN=40, exitN=71 |
11.7% | -44.4% | 0.71 | 0.26 | 72.2x | 79 | 71% |
| SMA 크로스오버 fast=9, slow=131 |
10.2% | -40.4% | 0.68 | 0.25 | 42.9x | 125 | 59% |
| 볼린저 밴드 돌파 n=35, k=2.2 |
7.6% | -42.1% | 0.67 | 0.18 | 17.2x | 190 | 34% |
| Parabolic SAR step=0.01, maxStep=0.16 |
10.0% | -48.0% | 0.67 | 0.21 | 39.6x | 480 | 55% |
| ADX / DI 방향성 period=32, threshold=15 |
7.7% | -34.0% | 0.64 | 0.23 | 17.8x | 240 | 36% |
| ROC 모멘텀 n=66, threshold=-0.04 |
8.4% | -57.3% | 0.54 | 0.15 | 22.7x | 313 | 72% |
| MACD fast=8, slow=56, signal=16 |
5.7% | -62.2% | 0.43 | 0.09 | 8.7x | 560 | 52% |
| Buy and hold | 11.9% | -70.6% | 0.50 | 0.17 | 76.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 29-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)