Trend-Following Backtester · Guide · backtest 한국어
etf · GB
BH Macro Ltd GBP backtest
10 trend-following strategies were compared on the full daily history of BH Macro Ltd GBP. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.1%, MDD -21.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.6%, drawdown -35.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.9%, MDD -25.8%, Sharpe 0.68, 47% exposure.
CAGR reference leader: Supertrend — CAGR 7.1%, MDD -21.2%, exposure 58%.
Return/drawdown alternative: Supertrend — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 10.2%p (CAGR 7.1%, MDD -21.2%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=63, exitN=36 |
6.9% | -25.8% | 0.68 | 0.27 | 3.6x | 34 | 47% |
| Supertrend period=21, mult=4.8 |
7.1% | -21.2% | 0.66 | 0.33 | 3.8x | 32 | 58% |
| EMA 크로스오버 fast=35, slow=84 |
6.6% | -18.8% | 0.61 | 0.35 | 3.5x | 38 | 60% |
| SMA 크로스오버 fast=44, slow=75 |
6.2% | -18.2% | 0.59 | 0.34 | 3.2x | 72 | 57% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
3.7% | -12.8% | 0.57 | 0.29 | 2.0x | 28 | 19% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.04 |
6.6% | -38.2% | 0.52 | 0.17 | 3.5x | 23 | 100% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=48, mult=3.5 |
1.4% | -13.5% | 0.37 | 0.10 | 1.3x | 24 | 7% |
| ADX / DI 방향성 period=41, threshold=21 |
0.7% | -22.4% | 0.18 | 0.03 | 1.1x | 36 | 16% |
| Parabolic SAR step=0.005, maxStep=0.18 |
0.4% | -53.0% | 0.09 | 0.01 | 1.1x | 148 | 55% |
| MACD fast=22, slow=52, signal=28 |
-0.9% | -54.3% | -0.03 | -0.02 | 0.8x | 162 | 48% |
| Buy and hold | 7.6% | -35.9% | 0.57 | 0.21 | 4.1x | 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 63 days
- Sell — Sell when price breaks below the lowest low of the last 36 days