Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Murray Income Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Murray Income Trust PLC. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.6%, drawdown -74.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.8%, MDD -67.2%, Sharpe 0.39, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=14, threshold=-0.13 |
6.8% | -67.2% | 0.39 | 0.10 | 38.9x | 41 | 99% |
| Donchian 채널 돌파 entryN=93, exitN=96 |
3.6% | -38.2% | 0.31 | 0.09 | 7.1x | 75 | 60% |
| SMA 크로스오버 fast=65, slow=230 |
3.6% | -42.2% | 0.30 | 0.09 | 7.1x | 69 | 64% |
| EMA 크로스오버 fast=42, slow=255 |
3.6% | -44.2% | 0.30 | 0.08 | 7.1x | 71 | 69% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=8, mult=3.1 |
1.6% | -46.2% | 0.19 | 0.04 | 2.5x | 185 | 43% |
| ADX / DI 방향성 period=38, threshold=19 |
1.2% | -49.3% | 0.16 | 0.02 | 2.0x | 134 | 28% |
| Supertrend period=8, mult=4.9 |
0.5% | -74.2% | 0.11 | 0.01 | 1.3x | 281 | 56% |
| 볼린저 밴드 돌파 n=40, k=3.4 |
0.3% | -37.8% | 0.07 | 0.01 | 1.2x | 60 | 12% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-1.4% | -88.5% | -0.02 | -0.02 | 0.5x | 359 | 60% |
| MACD fast=21, slow=44, signal=20 |
-2.5% | -86.1% | -0.07 | -0.03 | 0.2x | 553 | 49% |
| Buy and hold | 6.6% | -74.5% | 0.38 | 0.09 | 34.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 14-day return is greater than -13%
- Sell — Sell when the 14-day return drops to -13% or below