Trend-Following Backtester · Guide · backtest 한국어
etf · GB
TwentyFour Select Monthly Income Fund Ltd 2014-17.2.15 GBP Ptg.Shs backtest
10 trend-following strategies were compared on the full daily history of TwentyFour Select Monthly Income Fund Ltd 2014-17.2.15 GBP Ptg.Shs. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.4%, MDD -0.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.4%, drawdown -46.4%).
Sharpe leader (same as main): Supertrend — CAGR 3.3%, MDD -13.9%, Sharpe 0.35, 63% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 32.4%p (CAGR 0.4%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=46, mult=3 |
3.3% | -13.9% | 0.35 | 0.24 | 1.5x | 27 | 63% |
| ROC 모멘텀 n=16, threshold=0.22 |
0.4% | -0.5% | 0.32 | 0.74 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=42, exitN=42 |
0.5% | -11.6% | 0.10 | 0.04 | 1.1x | 25 | 53% |
| 볼린저 밴드 돌파 n=56, k=3.4 |
-0.1% | -5.1% | -0.01 | -0.01 | 1.0x | 8 | 7% |
| SMA 크로스오버 fast=10, slow=151 |
-0.9% | -18.1% | -0.07 | -0.05 | 0.9x | 27 | 53% |
| EMA 크로스오버 fast=13, slow=108 |
-1.0% | -18.6% | -0.09 | -0.05 | 0.9x | 37 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-1.2% | -33.7% | -0.09 | -0.04 | 0.9x | 95 | 59% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=28, mult=3.6 |
-0.1% | -2.2% | -0.11 | -0.05 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=57, threshold=24 |
-0.2% | -4.9% | -0.16 | -0.05 | 1.0x | 2 | 2% |
| MACD fast=31, slow=70, signal=26 |
-2.7% | -32.6% | -0.32 | -0.08 | 0.7x | 81 | 43% |
| Buy and hold | -1.4% | -46.4% | -0.01 | -0.03 | 0.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 46-day volatility, 3× band
- Sell — Sell when price drops below the trend line (flips down)