Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Gresham House Energy Storage Fund Plc GBP backtest
10 trend-following strategies were compared on the full daily history of Gresham House Energy Storage Fund Plc GBP. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.8%, MDD -12.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.7%, drawdown -79.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 18.7%, MDD -12.9%, Sharpe 1.42, 34% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 19.5%p higher than buy and hold, while drawdown improves by 66.0%p (CAGR 11.8%, MDD -12.2%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=9, k=1.8 |
18.7% | -12.9% | 1.42 | 1.45 | 3.8x | 107 | 34% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=28, mult=1.2 |
12.4% | -13.8% | 1.20 | 0.90 | 2.5x | 44 | 15% |
| ROC 모멘텀 n=7, threshold=0.06 |
11.8% | -12.2% | 1.17 | 0.97 | 2.4x | 66 | 7% |
| Donchian 채널 돌파 entryN=28, exitN=22 |
16.1% | -15.7% | 1.16 | 1.03 | 3.2x | 25 | 55% |
| Supertrend period=14, mult=2.9 |
16.3% | -25.2% | 1.07 | 0.65 | 3.3x | 31 | 56% |
| Parabolic SAR step=0.025, maxStep=0.14 |
14.1% | -25.6% | 0.94 | 0.55 | 2.8x | 157 | 53% |
| MACD fast=7, slow=39, signal=6 |
13.8% | -33.5% | 0.88 | 0.41 | 2.7x | 156 | 49% |
| ADX / DI 방향성 period=11, threshold=17 |
11.5% | -25.3% | 0.86 | 0.45 | 2.3x | 123 | 46% |
| EMA 크로스오버 fast=7, slow=206 |
10.8% | -20.7% | 0.84 | 0.52 | 2.2x | 11 | 60% |
| SMA 크로스오버 fast=35, slow=196 |
9.5% | -20.2% | 0.79 | 0.47 | 2.0x | 9 | 56% |
| Buy and hold | -0.7% | -79.0% | 0.09 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 9-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 9-day middle average