Trend-Following Backtester · Guide · backtest 한국어
equity · GB
ICG Enterprise Trust PLC GBP backtest
10 trend-following strategies were compared on the full daily history of ICG Enterprise Trust PLC GBP. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 12.3%, MDD -44.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.9%, drawdown -70.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.6%, MDD -57.0%, Sharpe 0.69, 25% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 12.3%, MDD -44.4%, exposure 94%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.3%p lower than buy and hold, while drawdown improves by 13.8%p (CAGR 12.3%, MDD -44.4%, exposure 94%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=13, mult=3.6 |
6.6% | -57.0% | 0.69 | 0.12 | 17.4x | 152 | 25% |
| ROC 모멘텀 n=28, threshold=-0.09 |
12.3% | -44.4% | 0.65 | 0.28 | 179.4x | 149 | 94% |
| Donchian 채널 돌파 entryN=17, exitN=45 |
11.5% | -51.4% | 0.65 | 0.22 | 134.8x | 183 | 78% |
| ADX / DI 방향성 period=39, threshold=25 |
6.2% | -50.1% | 0.63 | 0.12 | 14.6x | 102 | 32% |
| Parabolic SAR step=0.015, maxStep=0.32 |
7.7% | -52.4% | 0.54 | 0.15 | 28.4x | 552 | 57% |
| EMA 크로스오버 fast=24, slow=133 |
7.3% | -55.4% | 0.51 | 0.13 | 23.3x | 91 | 70% |
| Supertrend period=26, mult=5 |
7.8% | -73.6% | 0.51 | 0.11 | 28.7x | 219 | 63% |
| SMA 크로스오버 fast=18, slow=184 |
6.2% | -52.2% | 0.46 | 0.12 | 15.0x | 87 | 69% |
| 볼린저 밴드 돌파 n=29, k=2.7 |
4.5% | -50.6% | 0.45 | 0.09 | 7.1x | 199 | 29% |
| MACD fast=13, slow=22, signal=18 |
4.2% | -70.1% | 0.33 | 0.06 | 6.3x | 610 | 50% |
| Buy and hold | 10.9% | -70.8% | 0.55 | 0.15 | 103.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 18-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 18-day average