Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Foresight Environmental Infrastructure Limited GBP backtest
10 trend-following strategies were compared on the full daily history of Foresight Environmental Infrastructure Limited GBP. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -2.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.3%, drawdown -53.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -2.0%, Sharpe 0.29, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 1.0%, MDD -16.3%, exposure 20%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 52.0%p (CAGR 0.2%, MDD -2.0%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=32, threshold=33 |
0.2% | -2.0% | 0.29 | 0.12 | 1.0x | 4 | 1% |
| Donchian 채널 돌파 entryN=127, exitN=22 |
1.0% | -16.3% | 0.18 | 0.06 | 1.1x | 23 | 20% |
| SMA 크로스오버 fast=39, slow=198 |
0.7% | -29.6% | 0.12 | 0.02 | 1.1x | 21 | 42% |
| ROC 모멘텀 n=103, threshold=0.12 |
0.4% | -17.3% | 0.09 | 0.02 | 1.0x | 19 | 7% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=28, mult=3.4 |
0.1% | -10.4% | 0.04 | 0.01 | 1.0x | 17 | 11% |
| Supertrend period=16, mult=5 |
-0.7% | -33.6% | -0.02 | -0.02 | 0.9x | 29 | 48% |
| EMA 크로스오버 fast=53, slow=211 |
-0.9% | -28.3% | -0.04 | -0.03 | 0.9x | 17 | 45% |
| 볼린저 밴드 돌파 n=45, k=2.4 |
-0.5% | -20.0% | -0.04 | -0.02 | 0.9x | 37 | 21% |
| Parabolic SAR step=0.02, maxStep=0.04 |
-1.4% | -37.4% | -0.07 | -0.04 | 0.8x | 136 | 53% |
| MACD fast=16, slow=57, signal=30 |
-4.2% | -50.5% | -0.32 | -0.08 | 0.6x | 108 | 53% |
| Buy and hold | -1.3% | -53.9% | 0.01 | -0.02 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 32-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)