Trend-Following Backtester · Guide · backtest 한국어
etf · GB
SDCL Efficiency Income Trust PLC backtest
10 trend-following strategies were compared on the full daily history of SDCL Efficiency Income Trust PLC. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.9%, MDD -3.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.5%, drawdown -74.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.5%, MDD -4.5%, Sharpe 0.54, 14% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.9%p higher than buy and hold, while drawdown improves by 70.0%p (CAGR 0.9%, MDD -3.2%, exposure 8%).
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=43, k=3.5 |
1.5% | -4.5% | 0.54 | 0.33 | 1.1x | 4 | 14% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=8, mult=4 |
0.9% | -3.2% | 0.47 | 0.27 | 1.1x | 2 | 8% |
| ADX / DI 방향성 period=17, threshold=30 |
0.6% | -10.7% | 0.13 | 0.06 | 1.0x | 36 | 9% |
| ROC 모멘텀 n=74, threshold=0.1 |
0.5% | -11.0% | 0.10 | 0.04 | 1.0x | 16 | 7% |
| SMA 크로스오버 fast=45, slow=116 |
-3.6% | -36.6% | -0.17 | -0.10 | 0.8x | 14 | 43% |
| EMA 크로스오버 fast=10, slow=282 |
-2.4% | -20.2% | -0.18 | -0.12 | 0.8x | 12 | 36% |
| Donchian 채널 돌파 entryN=68, exitN=21 |
-3.2% | -31.4% | -0.22 | -0.10 | 0.8x | 20 | 32% |
| Supertrend period=12, mult=2.8 |
-4.6% | -49.2% | -0.26 | -0.09 | 0.7x | 38 | 53% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-5.8% | -44.3% | -0.31 | -0.13 | 0.6x | 152 | 50% |
| MACD fast=11, slow=15, signal=11 |
-6.5% | -46.8% | -0.35 | -0.14 | 0.6x | 152 | 49% |
| Buy and hold | -12.5% | -74.5% | -0.41 | -0.17 | 0.4x | 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 43-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 43-day middle average