Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Temple Bar Investment Trust PLC GBP backtest
10 trend-following strategies were compared on the full daily history of Temple Bar Investment Trust PLC GBP. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.7%, drawdown -87.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 1.2%, MDD -83.1%, Sharpe 0.20, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.3%, MDD -89.9%, exposure 73%.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=57, slow=83 |
1.2% | -83.1% | 0.20 | 0.01 | 2.0x | 115 | 65% |
| ROC 모멘텀 n=113, threshold=-0.03 |
3.3% | -89.9% | 0.18 | 0.04 | 6.2x | 309 | 73% |
| Donchian 채널 돌파 entryN=73, exitN=103 |
0.6% | -84.4% | 0.17 | 0.01 | 1.4x | 91 | 71% |
| Supertrend period=21, mult=4.3 |
2.0% | -86.6% | 0.16 | 0.02 | 3.0x | 329 | 60% |
| SMA 크로스오버 fast=22, slow=167 |
0.2% | -85.5% | 0.15 | 0.00 | 1.1x | 133 | 63% |
| MACD fast=18, slow=29, signal=11 |
2.1% | -73.7% | 0.13 | 0.03 | 3.2x | 807 | 48% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=9, mult=2.1 |
0.0% | -85.8% | 0.12 | 0.00 | 1.0x | 299 | 48% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-0.7% | -91.7% | 0.11 | -0.01 | 0.7x | 353 | 59% |
| 볼린저 밴드 돌파 n=20, k=1.8 |
0.7% | -66.9% | 0.11 | 0.01 | 1.5x | 545 | 42% |
| ADX / DI 방향성 period=13, threshold=23 |
-3.5% | -92.8% | 0.06 | -0.04 | 0.1x | 519 | 39% |
| Buy and hold | 7.7% | -87.5% | 0.26 | 0.09 | 68.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 57-day EMA crosses above the 83-day EMA
- Sell — Sell when the 57-day EMA falls below the 83-day EMA