Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Aberdeen UK Smaller Companies Growth Trust plc GBP backtest
10 trend-following strategies were compared on the full daily history of Aberdeen UK Smaller Companies Growth Trust plc GBP. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.7%, MDD -19.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.2%, drawdown -90.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.7%, MDD -19.3%, Sharpe 1.26, 19% exposure.
CAGR reference leader: Supertrend — CAGR 14.7%, MDD -36.2%, exposure 59%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 70.7%p (CAGR 8.7%, MDD -19.3%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=11, k=2.5 |
8.7% | -19.3% | 1.26 | 0.45 | 15.9x | 188 | 19% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=13, mult=2.1 |
9.6% | -25.7% | 1.18 | 0.37 | 20.4x | 174 | 28% |
| Supertrend period=14, mult=4.4 |
14.7% | -36.2% | 1.18 | 0.41 | 92.9x | 161 | 59% |
| Donchian 채널 돌파 entryN=77, exitN=42 |
12.7% | -23.2% | 1.15 | 0.55 | 51.7x | 57 | 50% |
| Parabolic SAR step=0.01, maxStep=0.1 |
13.3% | -24.1% | 1.07 | 0.55 | 61.2x | 353 | 56% |
| ADX / DI 방향성 period=34, threshold=19 |
8.2% | -29.5% | 0.98 | 0.28 | 13.6x | 126 | 33% |
| ROC 모멘텀 n=24, threshold=-0.02 |
11.5% | -32.8% | 0.90 | 0.35 | 36.8x | 383 | 71% |
| EMA 크로스오버 fast=18, slow=38 |
10.9% | -37.3% | 0.89 | 0.29 | 30.7x | 147 | 62% |
| SMA 크로스오버 fast=12, slow=100 |
10.2% | -36.8% | 0.83 | 0.28 | 24.8x | 103 | 60% |
| MACD fast=12, slow=68, signal=15 |
8.2% | -39.1% | 0.73 | 0.21 | 13.5x | 381 | 52% |
| Buy and hold | 5.2% | -90.1% | 0.36 | 0.06 | 5.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 11-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 11-day middle average