Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Invesco Asia Dragon Trust PLC GBP backtest
10 trend-following strategies were compared on the full daily history of Invesco Asia Dragon Trust PLC GBP. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.5%, MDD -30.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.4%, drawdown -75.7%).
Sharpe leader (same as main): Supertrend — CAGR 8.3%, MDD -37.6%, Sharpe 0.58, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 38.1%p (CAGR 6.5%, MDD -30.1%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=2.9 |
8.3% | -37.6% | 0.58 | 0.22 | 11.9x | 236 | 55% |
| Parabolic SAR step=0.01, maxStep=0.02 |
7.7% | -48.3% | 0.56 | 0.16 | 10.1x | 158 | 58% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=11, mult=2.3 |
6.5% | -30.1% | 0.55 | 0.22 | 7.1x | 128 | 42% |
| Donchian 채널 돌파 entryN=19, exitN=21 |
7.5% | -34.2% | 0.53 | 0.22 | 9.4x | 176 | 59% |
| ADX / DI 방향성 period=29, threshold=10 |
5.8% | -37.9% | 0.49 | 0.15 | 5.8x | 326 | 45% |
| SMA 크로스오버 fast=18, slow=184 |
6.5% | -38.5% | 0.48 | 0.17 | 7.0x | 55 | 58% |
| EMA 크로스오버 fast=30, slow=116 |
6.2% | -40.9% | 0.46 | 0.15 | 6.5x | 65 | 59% |
| 볼린저 밴드 돌파 n=40, k=2 |
4.5% | -41.9% | 0.43 | 0.11 | 4.0x | 156 | 35% |
| MACD fast=23, slow=51, signal=31 |
3.8% | -45.2% | 0.31 | 0.08 | 3.2x | 236 | 52% |
| ROC 모멘텀 n=113, threshold=0.14 |
1.8% | -37.1% | 0.23 | 0.05 | 1.8x | 188 | 23% |
| Buy and hold | 5.4% | -75.7% | 0.34 | 0.07 | 5.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 2.9× band
- Sell — Sell when price drops below the trend line (flips down)