Trend-Following Backtester · Guide · backtest 한국어

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Henderson Far East Income LTD GBP backtest

10 trend-following strategies were compared on the full daily history of Henderson Far East Income LTD GBP. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.2%, MDD -44.0%).

Data 1980-01-31 ~ 2026-07-31daily bars 11,962 (46.5 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 5.3%, drawdown -63.7%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.2%, MDD -44.0%, Sharpe 0.36, 32% exposure.

CAGR reference leader: ROC 모멘텀 — CAGR 5.2%, MDD -63.7%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 19.7%p (CAGR 4.2%, MDD -44.0%, exposure 32%).

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
Keltner 채널 돌파
emaPeriod=46, atrPeriod=9, mult=4
4.2%-44.0%0.360.096.6x15232%
ROC 모멘텀
Hold-like · Exposure 100%
n=1, threshold=-0.12
5.2%-63.7%0.340.0810.4x11100%
Supertrend
period=10, mult=4.8
4.0%-43.6%0.320.096.1x28450%
Donchian 채널 돌파
entryN=42, exitN=71
3.6%-53.8%0.290.075.1x11565%
EMA 크로스오버
fast=40, slow=75
3.3%-47.8%0.280.074.5x11559%
ADX / DI 방향성
period=37, threshold=21
2.7%-47.3%0.280.063.5x7824%
SMA 크로스오버
fast=10, slow=149
2.7%-55.7%0.250.053.5x13758%
MACD
fast=28, slow=41, signal=23
2.4%-78.4%0.230.033.1x39650%
볼린저 밴드 돌파
n=24, k=2.5
2.2%-46.1%0.230.052.7x23029%
Parabolic SAR
step=0.015, maxStep=0.16
0.3%-76.5%0.100.001.1x64056%
Buy and hold5.3%-63.7%0.340.0810.9x1100%
1x 10x 1981 1987 1993 1999 2005 2011 2017 2023 ROC 모멘텀Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), ROC 모멘텀 (CAGR reference), Buy and hold.
0% -16% -32% -48% -64% 1981 1987 1993 1999 2005 2011 2017 2023 Buy and holdROC 모멘텀Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -44.0% (1987-10-29 → 1988-03-04), recovered after 1,792 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

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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