Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Polar Capital Global Healthcare Trust plc backtest
10 trend-following strategies were compared on the full daily history of Polar Capital Global Healthcare Trust plc. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.3%, MDD -22.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.5%, drawdown -34.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.3%, MDD -22.9%, Sharpe 0.62, 94% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 11.3%p (CAGR 9.3%, MDD -22.9%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=120, threshold=-0.11 |
9.3% | -22.9% | 0.62 | 0.40 | 4.2x | 19 | 94% |
| Donchian 채널 돌파 entryN=9, exitN=80 |
7.0% | -23.7% | 0.52 | 0.30 | 3.0x | 43 | 89% |
| SMA 크로스오버 fast=72, slow=228 |
5.9% | -34.5% | 0.45 | 0.17 | 2.5x | 17 | 73% |
| Parabolic SAR step=0.015, maxStep=0.06 |
4.4% | -22.6% | 0.42 | 0.20 | 2.0x | 207 | 56% |
| EMA 크로스오버 fast=61, slow=258 |
4.5% | -38.1% | 0.36 | 0.12 | 2.0x | 13 | 83% |
| 볼린저 밴드 돌파 n=40, k=2.7 |
2.0% | -21.6% | 0.35 | 0.09 | 1.4x | 40 | 20% |
| Supertrend period=28, mult=4.3 |
3.2% | -23.1% | 0.31 | 0.14 | 1.7x | 53 | 66% |
| MACD fast=23, slow=28, signal=18 |
2.8% | -34.6% | 0.30 | 0.08 | 1.6x | 176 | 50% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=11, mult=2.2 |
0.6% | -27.1% | 0.11 | 0.02 | 1.1x | 79 | 33% |
| ADX / DI 방향성 period=33, threshold=25 |
0.1% | -14.5% | 0.04 | 0.00 | 1.0x | 28 | 10% |
| Buy and hold | 9.5% | -34.1% | 0.61 | 0.28 | 4.3x | 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 120-day return is greater than -11%
- Sell — Sell when the 120-day return drops to -11% or below