Trend-Following Backtester · Guide · backtest 한국어
etf · GB
International Public Partnerships Ltd backtest
10 trend-following strategies were compared on the full daily history of International Public Partnerships Ltd. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 1.7%, MDD -25.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 1.8%, drawdown -39.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.7%, MDD -25.1%, Sharpe 0.21, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 13.8%p (CAGR 1.7%, MDD -25.1%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=78, slow=234 |
1.7% | -25.1% | 0.21 | 0.07 | 1.4x | 25 | 61% |
| EMA 크로스오버 fast=57, slow=272 |
0.8% | -31.0% | 0.13 | 0.03 | 1.2x | 21 | 65% |
| ROC 모멘텀 n=69, threshold=0.16 |
0.1% | -10.6% | 0.07 | 0.01 | 1.0x | 16 | 1% |
| Keltner 채널 돌파 emaPeriod=5, atrPeriod=27, mult=3 |
0.0% | -8.6% | 0.03 | 0.00 | 1.0x | 18 | 2% |
| Donchian 채널 돌파 entryN=27, exitN=69 |
-0.6% | -50.6% | 0.01 | -0.01 | 0.9x | 43 | 75% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
-0.1% | -9.1% | -0.04 | -0.01 | 1.0x | 18 | 5% |
| ADX / DI 방향성 period=10, threshold=58 |
-0.1% | -3.0% | -0.19 | -0.05 | 1.0x | 8 | 1% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-6.0% | -75.3% | -0.53 | -0.08 | 0.3x | 141 | 60% |
| MACD fast=19, slow=44, signal=19 |
-6.6% | -75.8% | -0.61 | -0.09 | 0.3x | 216 | 50% |
| Supertrend period=14, mult=2.3 |
-7.3% | -81.0% | -0.63 | -0.09 | 0.2x | 227 | 58% |
| Buy and hold | 1.8% | -39.0% | 0.19 | 0.05 | 1.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 78-day average price crosses above the 234-day average
- Sell — Sell (to cash) when the 78-day average falls below the 234-day average