Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Edinburgh Investment Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Edinburgh Investment Trust PLC. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.0%, MDD -33.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.8%, drawdown -64.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.0%, MDD -33.5%, Sharpe 0.42, 74% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.2%, MDD -49.9%, exposure 83%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 30.8%p (CAGR 6.0%, MDD -33.5%, exposure 74%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=63, slow=325 |
6.0% | -33.5% | 0.42 | 0.18 | 27.5x | 37 | 74% |
| ROC 모멘텀 n=192, threshold=-0.09 |
6.2% | -49.9% | 0.42 | 0.12 | 29.6x | 115 | 83% |
| Donchian 채널 돌파 entryN=77, exitN=100 |
4.5% | -39.7% | 0.34 | 0.11 | 12.0x | 83 | 70% |
| SMA 크로스오버 fast=24, slow=215 |
3.2% | -35.6% | 0.28 | 0.09 | 6.0x | 115 | 65% |
| Supertrend period=23, mult=4.3 |
1.8% | -60.4% | 0.19 | 0.03 | 2.7x | 309 | 60% |
| ADX / DI 방향성 period=31, threshold=41 |
1.6% | -28.2% | 0.18 | 0.06 | 2.4x | 74 | 16% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=23, mult=3.5 |
1.5% | -55.5% | 0.18 | 0.03 | 2.3x | 162 | 24% |
| 볼린저 밴드 돌파 n=13, k=2.9 |
1.0% | -56.8% | 0.14 | 0.02 | 1.8x | 116 | 19% |
| MACD fast=14, slow=40, signal=16 |
0.5% | -75.7% | 0.10 | 0.01 | 1.3x | 661 | 48% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-0.6% | -87.7% | 0.04 | -0.01 | 0.7x | 381 | 59% |
| Buy and hold | 6.8% | -64.3% | 0.40 | 0.11 | 42.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 63-day EMA crosses above the 325-day EMA
- Sell — Sell when the 63-day EMA falls below the 325-day EMA