Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Bankers Investment Trust PLC GBP backtest
10 trend-following strategies were compared on the full daily history of Bankers Investment Trust PLC GBP. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.2%, drawdown -90.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.3%, MDD -69.3%, Sharpe 0.29, 60% exposure.
CAGR reference leader: Supertrend — CAGR 4.3%, MDD -76.6%, exposure 64%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=65, exitN=51 |
3.3% | -69.3% | 0.29 | 0.05 | 6.3x | 141 | 60% |
| EMA 크로스오버 fast=17, slow=279 |
2.0% | -90.5% | 0.28 | 0.02 | 3.0x | 77 | 70% |
| ROC 모멘텀 n=103, threshold=-0.11 |
1.9% | -94.3% | 0.27 | 0.02 | 2.9x | 129 | 89% |
| 볼린저 밴드 돌파 n=55, k=2.4 |
1.9% | -39.6% | 0.22 | 0.05 | 2.9x | 154 | 35% |
| SMA 크로스오버 fast=15, slow=198 |
-0.0% | -91.6% | 0.19 | -0.00 | 1.0x | 127 | 67% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=19, mult=2.4 |
1.6% | -69.9% | 0.18 | 0.02 | 2.5x | 246 | 48% |
| Supertrend period=21, mult=2.8 |
4.3% | -76.6% | 0.14 | 0.06 | 11.1x | 478 | 64% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.7% | -94.7% | 0.14 | 0.02 | 2.5x | 362 | 62% |
| ADX / DI 방향성 period=11, threshold=24 |
2.2% | -76.6% | 0.13 | 0.03 | 3.5x | 582 | 42% |
| MACD fast=15, slow=24, signal=18 |
-1.0% | -95.6% | 0.12 | -0.01 | 0.6x | 756 | 48% |
| Buy and hold | 9.2% | -90.9% | 0.20 | 0.10 | 146.3x | 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 65 days
- Sell — Sell when price breaks below the lowest low of the last 51 days