Trend-Following Backtester · Guide · backtest 한국어
etf · GB
HGCapital Trust PLC backtest
10 trend-following strategies were compared on the full daily history of HGCapital Trust PLC. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.0%, MDD -34.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.4%, drawdown -45.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.0%, MDD -34.0%, Sharpe 0.69, 66% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.9%, MDD -43.1%, exposure 64%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 11.0%p (CAGR 9.0%, MDD -34.0%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=24, slow=98 |
9.0% | -34.0% | 0.69 | 0.26 | 23.1x | 64 | 66% |
| SMA 크로스오버 fast=62, slow=150 |
9.9% | -43.1% | 0.67 | 0.23 | 31.5x | 50 | 64% |
| Donchian 채널 돌파 entryN=51, exitN=68 |
9.0% | -42.9% | 0.64 | 0.21 | 23.1x | 72 | 67% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
3.1% | -19.7% | 0.62 | 0.16 | 3.1x | 72 | 13% |
| ROC 모멘텀 n=136, threshold=-0.01 |
7.4% | -38.6% | 0.55 | 0.19 | 13.7x | 186 | 69% |
| Supertrend period=9, mult=4.8 |
6.7% | -37.9% | 0.54 | 0.18 | 10.7x | 167 | 58% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=15, mult=2.4 |
4.9% | -35.5% | 0.52 | 0.14 | 5.8x | 154 | 43% |
| Parabolic SAR step=0.01, maxStep=0.12 |
3.7% | -58.0% | 0.33 | 0.06 | 3.8x | 359 | 52% |
| ADX / DI 방향성 period=28, threshold=28 |
1.4% | -22.8% | 0.27 | 0.06 | 1.6x | 94 | 20% |
| MACD fast=19, slow=27, signal=18 |
0.4% | -69.0% | 0.09 | 0.01 | 1.2x | 429 | 50% |
| Buy and hold | 10.4% | -45.0% | 0.58 | 0.23 | 37.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 24-day EMA crosses above the 98-day EMA
- Sell — Sell when the 24-day EMA falls below the 98-day EMA