Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Henderson Smaller Companies Investment Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Henderson Smaller Companies Investment Trust PLC. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.6%, MDD -36.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 7.7%, drawdown -89.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.3%, MDD -42.8%, Sharpe 0.72, 49% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.9%, MDD -45.8%, exposure 64%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 46.8%p (CAGR 9.6%, MDD -36.9%, exposure 61%).
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=29, k=1.2 |
10.3% | -42.8% | 0.72 | 0.24 | 252.8x | 383 | 49% |
| Supertrend period=25, mult=4.8 |
11.0% | -42.9% | 0.71 | 0.26 | 369.5x | 249 | 59% |
| Parabolic SAR step=0.01, maxStep=0.14 |
11.0% | -41.8% | 0.71 | 0.26 | 367.6x | 478 | 58% |
| Donchian 채널 돌파 entryN=21, exitN=29 |
12.9% | -45.8% | 0.70 | 0.28 | 982.3x | 289 | 64% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=19, mult=1.6 |
9.7% | -42.0% | 0.69 | 0.23 | 189.1x | 355 | 47% |
| ROC 모멘텀 n=112, threshold=-0.04 |
10.3% | -58.8% | 0.65 | 0.17 | 252.0x | 193 | 71% |
| ADX / DI 방향성 period=25, threshold=9 |
9.7% | -47.3% | 0.64 | 0.20 | 186.0x | 475 | 58% |
| EMA 크로스오버 fast=7, slow=100 |
9.6% | -36.9% | 0.64 | 0.26 | 179.9x | 177 | 61% |
| SMA 크로스오버 fast=2, slow=187 |
8.6% | -45.4% | 0.61 | 0.19 | 109.0x | 177 | 63% |
| MACD fast=9, slow=54, signal=24 |
8.1% | -51.9% | 0.54 | 0.16 | 83.6x | 570 | 49% |
| Buy and hold | 7.7% | -89.6% | 0.42 | 0.09 | 66.5x | 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 29-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 29-day middle average