Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Edinburgh Worldwide Investment Trust backtest
10 trend-following strategies were compared on the full daily history of Edinburgh Worldwide Investment Trust. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.9%, MDD -43.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.8%, drawdown -71.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.6%, MDD -46.9%, Sharpe 0.50, 55% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.3%, MDD -63.6%, exposure 75%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 24.6%p (CAGR 6.9%, MDD -43.2%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=23, mult=1.1 |
6.6% | -46.9% | 0.50 | 0.14 | 31.7x | 314 | 55% |
| 볼린저 밴드 돌파 n=55, k=1.4 |
5.8% | -43.5% | 0.50 | 0.13 | 20.8x | 224 | 47% |
| ADX / DI 방향성 period=31, threshold=12 |
6.3% | -38.7% | 0.48 | 0.16 | 27.1x | 380 | 54% |
| EMA 크로스오버 fast=3, slow=198 |
6.9% | -43.2% | 0.48 | 0.16 | 36.2x | 190 | 64% |
| Donchian 채널 돌파 entryN=22, exitN=59 |
8.3% | -63.6% | 0.47 | 0.13 | 71.8x | 190 | 75% |
| Parabolic SAR step=0.015, maxStep=0.16 |
6.5% | -52.3% | 0.46 | 0.12 | 29.7x | 666 | 57% |
| ROC 모멘텀 n=117, threshold=-0.11 |
7.4% | -59.7% | 0.46 | 0.12 | 46.0x | 179 | 83% |
| SMA 크로스오버 fast=7, slow=160 |
6.3% | -45.7% | 0.45 | 0.14 | 26.3x | 154 | 62% |
| Supertrend period=8, mult=3 |
5.2% | -59.6% | 0.40 | 0.09 | 15.6x | 440 | 58% |
| MACD fast=15, slow=49, signal=14 |
5.1% | -54.6% | 0.36 | 0.09 | 14.6x | 600 | 51% |
| Buy and hold | 7.8% | -71.5% | 0.41 | 0.11 | 57.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 53-day average + 1.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 53-day average