Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Pacific Horizon Investment Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Pacific Horizon Investment Trust PLC. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 10.5%, MDD -42.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 8.6%, drawdown -72.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.6%, MDD -45.8%, Sharpe 0.68, 37% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.8%, MDD -43.0%, exposure 58%.
Return/drawdown alternative: Parabolic SAR — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 27.1%p (CAGR 10.5%, MDD -42.9%, exposure 56%).
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=58, atrPeriod=14, mult=3.1 |
8.6% | -45.8% | 0.68 | 0.19 | 21.0x | 130 | 37% |
| SMA 크로스오버 fast=12, slow=154 |
10.8% | -43.0% | 0.68 | 0.25 | 43.1x | 83 | 58% |
| 볼린저 밴드 돌파 n=45, k=1 |
9.4% | -48.6% | 0.67 | 0.19 | 27.8x | 238 | 47% |
| Donchian 채널 돌파 entryN=68, exitN=38 |
9.3% | -48.5% | 0.66 | 0.19 | 26.9x | 92 | 47% |
| EMA 크로스오버 fast=39, slow=93 |
10.3% | -47.4% | 0.65 | 0.22 | 36.9x | 69 | 58% |
| Parabolic SAR step=0.015, maxStep=0.2 |
10.5% | -42.9% | 0.64 | 0.25 | 40.1x | 538 | 56% |
| Supertrend period=20, mult=5 |
10.2% | -45.7% | 0.64 | 0.22 | 35.5x | 186 | 56% |
| ADX / DI 방향성 period=37, threshold=12 |
7.6% | -51.9% | 0.58 | 0.15 | 14.9x | 254 | 42% |
| ROC 모멘텀 n=120, threshold=-0.02 |
7.9% | -53.3% | 0.51 | 0.15 | 16.4x | 265 | 63% |
| MACD fast=9, slow=67, signal=19 |
7.4% | -53.2% | 0.49 | 0.14 | 13.7x | 444 | 53% |
| Buy and hold | 8.6% | -72.8% | 0.44 | 0.12 | 21.0x | 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 58-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 58-day average