Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Schroder Oriental Income Fund LTD GBP backtest
10 trend-following strategies were compared on the full daily history of Schroder Oriental Income Fund LTD GBP. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.4%, MDD -27.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -62.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -27.1%, Sharpe 0.52, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 35.8%p (CAGR 6.4%, MDD -27.1%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=49, slow=208 |
6.4% | -27.1% | 0.52 | 0.24 | 3.7x | 27 | 58% |
| EMA 크로스오버 fast=40, slow=109 |
5.8% | -26.8% | 0.48 | 0.22 | 3.3x | 43 | 60% |
| 볼린저 밴드 돌파 n=25, k=3.3 |
1.1% | -5.8% | 0.44 | 0.20 | 1.3x | 10 | 4% |
| Donchian 채널 돌파 entryN=43, exitN=75 |
5.6% | -48.3% | 0.44 | 0.12 | 3.2x | 35 | 69% |
| Supertrend period=12, mult=4.9 |
3.2% | -38.9% | 0.31 | 0.08 | 2.0x | 55 | 56% |
| ADX / DI 방향성 period=39, threshold=17 |
1.6% | -20.7% | 0.25 | 0.08 | 1.4x | 56 | 18% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=2.2 |
2.0% | -37.3% | 0.24 | 0.05 | 1.5x | 82 | 37% |
| ROC 모멘텀 n=128, threshold=0.13 |
1.7% | -27.0% | 0.23 | 0.06 | 1.4x | 131 | 24% |
| MACD fast=18, slow=43, signal=13 |
-1.7% | -56.5% | -0.05 | -0.03 | 0.7x | 274 | 53% |
| Parabolic SAR step=0.005, maxStep=0.4 |
-2.7% | -64.9% | -0.11 | -0.04 | 0.6x | 196 | 58% |
| Buy and hold | 6.9% | -62.8% | 0.42 | 0.11 | 4.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 49-day average price crosses above the 208-day average
- Sell — Sell (to cash) when the 49-day average falls below the 208-day average