Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Capital Gearing Trust PLC GBP backtest
10 trend-following strategies were compared on the full daily history of Capital Gearing Trust PLC GBP. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.4%, MDD -41.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.6%, drawdown -98.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.8%, MDD -58.1%, Sharpe 0.61, 77% exposure.
CAGR reference leader: Supertrend — CAGR 11.4%, MDD -41.2%, exposure 65%.
Return/drawdown alternative: Supertrend — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 40.7%p (CAGR 11.4%, MDD -41.2%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=18, slow=442 |
10.8% | -58.1% | 0.61 | 0.19 | 243.8x | 47 | 77% |
| EMA 크로스오버 fast=57, slow=271 |
10.5% | -64.5% | 0.60 | 0.16 | 207.4x | 37 | 77% |
| Supertrend period=20, mult=5 |
11.4% | -41.2% | 0.55 | 0.28 | 315.2x | 171 | 65% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=8, mult=2.5 |
9.5% | -41.2% | 0.49 | 0.23 | 129.4x | 158 | 29% |
| 볼린저 밴드 돌파 n=19, k=2.8 |
8.8% | -41.2% | 0.46 | 0.21 | 89.9x | 222 | 33% |
| ROC 모멘텀 Hold-like · Exposure 96% n=36, threshold=-0.11 |
9.2% | -96.0% | 0.44 | 0.10 | 111.8x | 51 | 96% |
| Parabolic SAR step=0.005, maxStep=0.44 |
8.5% | -58.4% | 0.43 | 0.15 | 79.7x | 315 | 63% |
| ADX / DI 방향성 period=9, threshold=39 |
7.5% | -41.2% | 0.41 | 0.18 | 48.4x | 282 | 29% |
| Donchian 채널 돌파 entryN=107, exitN=71 |
7.6% | -86.0% | 0.40 | 0.09 | 50.4x | 75 | 68% |
| MACD fast=14, slow=54, signal=18 |
-0.8% | -94.3% | 0.13 | -0.01 | 0.7x | 559 | 51% |
| Buy and hold | 5.6% | -98.8% | 0.38 | 0.06 | 18.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 18-day average price crosses above the 442-day average
- Sell — Sell (to cash) when the 18-day average falls below the 442-day average