Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Odyssean Investment Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Odyssean Investment Trust PLC. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 12.5%, MDD -22.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.0%, drawdown -36.5%).
Sharpe leader (same as main): Supertrend — CAGR 12.5%, MDD -22.7%, Sharpe 0.81, 66% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 13.8%p (CAGR 12.5%, MDD -22.7%, exposure 66%).
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=28, mult=3.7 |
12.5% | -22.7% | 0.81 | 0.55 | 2.6x | 17 | 66% |
| 볼린저 밴드 돌파 n=25, k=3.1 |
4.9% | -6.4% | 0.80 | 0.77 | 1.5x | 6 | 7% |
| ROC 모멘텀 n=157, threshold=0.16 |
7.1% | -17.3% | 0.73 | 0.41 | 1.8x | 29 | 23% |
| Donchian 채널 돌파 entryN=58, exitN=30 |
8.2% | -21.5% | 0.63 | 0.38 | 1.9x | 15 | 45% |
| Parabolic SAR step=0.01, maxStep=0.26 |
7.3% | -26.4% | 0.57 | 0.28 | 1.8x | 113 | 56% |
| SMA 크로스오버 fast=10, slow=167 |
7.3% | -25.3% | 0.54 | 0.29 | 1.8x | 27 | 59% |
| EMA 크로스오버 fast=33, slow=85 |
7.2% | -22.6% | 0.53 | 0.32 | 1.8x | 21 | 60% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=25, mult=1.5 |
3.5% | -18.1% | 0.42 | 0.20 | 1.3x | 31 | 20% |
| ADX / DI 방향성 period=14, threshold=36 |
2.3% | -15.6% | 0.40 | 0.15 | 1.2x | 20 | 13% |
| MACD fast=15, slow=39, signal=16 |
-0.2% | -33.0% | 0.05 | -0.01 | 1.0x | 105 | 50% |
| Buy and hold | 10.0% | -36.5% | 0.56 | 0.27 | 2.2x | 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) — 28-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)