Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Templeton Emerging Markets Investment Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Templeton Emerging Markets Investment Trust PLC. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.2%, drawdown -85.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.7%, MDD -17.7%, Sharpe 0.86, 10% exposure.
CAGR reference leader: Parabolic SAR — CAGR 10.5%, MDD -92.5%, exposure 57%.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=12, mult=3.1 |
4.7% | -17.7% | 0.86 | 0.27 | 5.6x | 78 | 10% |
| 볼린저 밴드 돌파 n=27, k=2.7 |
5.5% | -26.3% | 0.77 | 0.21 | 7.4x | 108 | 18% |
| ADX / DI 방향성 period=21, threshold=24 |
6.0% | -39.3% | 0.64 | 0.15 | 8.8x | 190 | 31% |
| Supertrend period=17, mult=5 |
7.2% | -83.1% | 0.53 | 0.09 | 13.2x | 156 | 54% |
| Donchian 채널 돌파 entryN=47, exitN=46 |
6.1% | -84.4% | 0.46 | 0.07 | 8.9x | 96 | 62% |
| SMA 크로스오버 fast=48, slow=59 |
9.9% | -48.1% | 0.39 | 0.21 | 33.8x | 189 | 61% |
| EMA 크로스오버 fast=9, slow=196 |
8.4% | -84.1% | 0.38 | 0.10 | 20.1x | 85 | 61% |
| ROC 모멘텀 n=63, threshold=-0.05 |
7.0% | -86.6% | 0.35 | 0.08 | 12.5x | 257 | 76% |
| Parabolic SAR step=0.025, maxStep=0.08 |
10.5% | -92.5% | 0.28 | 0.11 | 40.1x | 610 | 57% |
| MACD fast=8, slow=24, signal=14 |
8.7% | -86.5% | 0.26 | 0.10 | 22.2x | 662 | 51% |
| Buy and hold | 14.2% | -85.9% | 0.34 | 0.16 | 136.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 13-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average