Trend-Following Backtester · Guide · backtest 한국어
etf · GB
TR Property Investment Trust PLC Ordinary Shares Class GBP backtest
10 trend-following strategies were compared on the full daily history of TR Property Investment Trust PLC Ordinary Shares Class GBP. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.5%, MDD -38.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.7%, drawdown -77.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.7%, MDD -40.1%, Sharpe 0.42, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR 11.5%, MDD -38.4%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=139, exitN=105 |
11.7% | -40.1% | 0.42 | 0.29 | 526.2x | 56 | 59% |
| EMA 크로스오버 fast=52, slow=82 |
11.6% | -43.1% | 0.41 | 0.27 | 512.9x | 88 | 62% |
| SMA 크로스오버 fast=16, slow=175 |
11.5% | -38.4% | 0.41 | 0.30 | 477.3x | 90 | 61% |
| ROC 모멘텀 n=121, threshold=-0.04 |
10.7% | -40.2% | 0.39 | 0.27 | 323.0x | 250 | 70% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=32, mult=3.4 |
10.3% | -37.3% | 0.38 | 0.28 | 260.2x | 136 | 47% |
| ADX / DI 방향성 period=60, threshold=13 |
8.9% | -39.8% | 0.34 | 0.22 | 124.3x | 172 | 45% |
| 볼린저 밴드 돌파 n=51, k=2.1 |
7.7% | -51.8% | 0.31 | 0.15 | 66.2x | 190 | 39% |
| Supertrend period=27, mult=4.6 |
5.4% | -60.8% | 0.26 | 0.09 | 20.0x | 292 | 61% |
| Parabolic SAR step=0.015, maxStep=0.24 |
2.7% | -85.5% | 0.18 | 0.03 | 4.6x | 673 | 56% |
| MACD fast=14, slow=39, signal=16 |
1.7% | -89.1% | 0.15 | 0.02 | 2.6x | 694 | 48% |
| Buy and hold | 10.7% | -77.5% | 0.38 | 0.14 | 317.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 139 days
- Sell — Sell when price breaks below the lowest low of the last 105 days