Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Rit Capital Partners PLC backtest
10 trend-following strategies were compared on the full daily history of Rit Capital Partners PLC. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.3%, drawdown -40.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.4%, MDD -40.3%, Sharpe 0.56, 100% 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 100% n=4, threshold=-0.12 |
9.4% | -40.3% | 0.56 | 0.23 | 31.1x | 3 | 100% |
| SMA 크로스오버 fast=50, slow=137 |
7.3% | -35.8% | 0.56 | 0.20 | 14.8x | 65 | 67% |
| EMA 크로스오버 fast=41, slow=269 |
7.4% | -37.3% | 0.55 | 0.20 | 15.3x | 33 | 72% |
| ADX / DI 방향성 period=33, threshold=21 |
3.2% | -13.3% | 0.53 | 0.24 | 3.3x | 72 | 18% |
| Donchian 채널 돌파 entryN=31, exitN=87 |
6.6% | -47.1% | 0.49 | 0.14 | 11.6x | 65 | 82% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=26, mult=4 |
1.8% | -27.5% | 0.35 | 0.07 | 2.0x | 81 | 14% |
| Supertrend period=17, mult=5 |
3.0% | -57.3% | 0.28 | 0.05 | 3.1x | 161 | 66% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
1.0% | -27.5% | 0.25 | 0.04 | 1.5x | 30 | 9% |
| Parabolic SAR step=0.005, maxStep=0.12 |
0.4% | -74.7% | 0.10 | 0.01 | 1.2x | 297 | 59% |
| MACD fast=15, slow=55, signal=18 |
-3.2% | -91.6% | -0.20 | -0.03 | 0.3x | 475 | 51% |
| Buy and hold | 9.3% | -40.3% | 0.56 | 0.23 | 30.0x | 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 4-day return is greater than -12%
- Sell — Sell when the 4-day return drops to -12% or below