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Finsbury Growth & Income Trust PLC backtest

10 trend-following strategies were compared on the full daily history of Finsbury Growth & Income Trust PLC. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.2%, MDD -46.3%).

Data 1970-01-01 ~ 2026-07-31daily bars 14,592 (56.6 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 12.4%, drawdown -79.6%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.4%, MDD -45.7%, Sharpe 0.37, 61% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 11.2%, MDD -46.3%, exposure 65%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.0%p lower than buy and hold, while drawdown improves by 33.9%p (CAGR 11.2%, MDD -46.3%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=39, slow=109
5.4%-45.7%0.370.1219.6x12961%
EMA 크로스오버
fast=41, slow=108
3.6%-49.8%0.300.077.6x11765%
ROC 모멘텀
n=82, threshold=-0.03
4.2%-73.4%0.290.0610.3x40574%
Donchian 채널 돌파
entryN=119, exitN=96
11.2%-46.3%0.190.24410.9x6365%
Parabolic SAR
step=0.01, maxStep=0.26
1.5%-70.8%0.170.022.3x51759%
MACD
fast=13, slow=27, signal=15
3.7%-77.2%0.140.057.6x74347%
볼린저 밴드 돌파
n=13, k=2.7
1.7%-88.5%0.120.022.6x25124%
Supertrend
period=8, mult=2.1
1.2%-94.7%0.120.011.9x61159%
ADX / DI 방향성
period=39, threshold=19
0.7%-75.8%0.110.011.5x17035%
Keltner 채널 돌파
emaPeriod=38, atrPeriod=28, mult=2.6
-0.9%-86.8%0.00-0.010.6x25941%
Buy and hold12.4%-79.6%0.210.16761.6x1100%
1x 10x 100x 1971 1978 1985 1992 1999 2006 2013 2020 Donchian 채널 돌파SMA 크로스오버Buy and hold
SMA 크로스오버 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -20% -40% -60% -80% 1971 1978 1985 1992 1999 2006 2013 2020 Buy and holdDonchian 채널 돌파SMA 크로스오버
SMA 크로스오버 maximum drawdown -45.7% (2019-09-06 → 2026-07-09), prior peak not yet recovered.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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