Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Ruffer Investment Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Ruffer Investment Co. Ltd.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.0%, drawdown -19.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.4%, MDD -2.8%, Sharpe 0.85, 7% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.9%, MDD -20.5%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=11, k=3 |
1.4% | -2.8% | 0.85 | 0.50 | 1.4x | 22 | 7% |
| Donchian 채널 돌파 entryN=98, exitN=59 |
3.6% | -14.6% | 0.54 | 0.25 | 2.2x | 25 | 49% |
| EMA 크로스오버 fast=48, slow=54 |
3.9% | -20.0% | 0.52 | 0.19 | 2.3x | 44 | 62% |
| SMA 크로스오버 fast=45, slow=197 |
3.8% | -17.5% | 0.52 | 0.22 | 2.3x | 28 | 61% |
| ROC 모멘텀 Hold-like · Exposure 99% n=27, threshold=-0.09 |
4.9% | -20.5% | 0.51 | 0.24 | 2.9x | 3 | 99% |
| Supertrend period=9, mult=5 |
3.5% | -25.2% | 0.48 | 0.14 | 2.1x | 29 | 57% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=26, mult=3.5 |
1.3% | -8.5% | 0.44 | 0.15 | 1.3x | 26 | 16% |
| ADX / DI 방향성 period=32, threshold=33 |
0.3% | -6.4% | 0.16 | 0.05 | 1.1x | 8 | 7% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-0.5% | -42.7% | -0.02 | -0.01 | 0.9x | 177 | 55% |
| MACD fast=17, slow=51, signal=18 |
-2.8% | -63.3% | -0.36 | -0.04 | 0.5x | 217 | 47% |
| Buy and hold | 5.0% | -19.7% | 0.52 | 0.25 | 2.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 11-day average (3× volatility)
- Sell — Sell when the close falls back to the 11-day middle average