Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Renewables Infrastructure Group Limited GBP Red.Shs backtest
10 trend-following strategies were compared on the full daily history of Renewables Infrastructure Group Limited GBP Red.Shs. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.3%, MDD -0.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR -2.1%, drawdown -56.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.3%, MDD -0.5%, Sharpe 0.31, 0% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.4%, MDD -28.2%, exposure 46%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 56.4%p (CAGR 0.3%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=131, threshold=0.21 |
0.3% | -0.5% | 0.31 | 0.52 | 1.0x | 4 | 0% |
| SMA 크로스오버 fast=84, slow=228 |
0.4% | -28.2% | 0.09 | 0.02 | 1.1x | 15 | 46% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=25, mult=4 |
0.0% | -4.5% | 0.04 | 0.01 | 1.0x | 4 | 3% |
| 볼린저 밴드 돌파 n=15, k=3.3 |
-0.0% | -1.6% | -0.03 | -0.01 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=94, slow=189 |
-1.1% | -30.7% | -0.06 | -0.04 | 0.9x | 14 | 44% |
| Donchian 채널 돌파 entryN=102, exitN=50 |
-2.2% | -40.3% | -0.26 | -0.05 | 0.7x | 21 | 35% |
| Supertrend period=36, mult=4.4 |
-4.1% | -47.7% | -0.37 | -0.08 | 0.6x | 47 | 56% |
| ADX / DI 방향성 period=29, threshold=28 |
-0.7% | -8.6% | -0.38 | -0.08 | 0.9x | 6 | 1% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-7.0% | -65.1% | -0.61 | -0.11 | 0.4x | 113 | 53% |
| MACD fast=10, slow=33, signal=19 |
-9.6% | -76.3% | -0.86 | -0.13 | 0.3x | 197 | 49% |
| Buy and hold | -2.1% | -56.9% | -0.05 | -0.04 | 0.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 131-day return is greater than 21%
- Sell — Sell when the 131-day return drops to 21% or below