Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Worldwide Healthcare Trust PLC GBP backtest
10 trend-following strategies were compared on the full daily history of Worldwide Healthcare Trust PLC GBP. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.9%, MDD -50.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.3%, drawdown -90.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.0%, MDD -18.3%, Sharpe 0.62, 14% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.7%, MDD -90.0%, exposure 62%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.2%p lower than buy and hold, while drawdown improves by 72.3%p (CAGR 10.9%, MDD -50.1%, exposure 44%).
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=11, mult=2.5 |
5.0% | -18.3% | 0.62 | 0.28 | 4.7x | 94 | 14% |
| 볼린저 밴드 돌파 n=29, k=3.3 |
3.2% | -27.3% | 0.50 | 0.12 | 2.7x | 24 | 7% |
| ADX / DI 방향성 period=39, threshold=15 |
5.0% | -42.1% | 0.46 | 0.12 | 4.7x | 136 | 33% |
| SMA 크로스오버 fast=55, slow=205 |
15.7% | -90.0% | 0.27 | 0.17 | 96.4x | 41 | 62% |
| EMA 크로스오버 fast=58, slow=207 |
13.7% | -90.0% | 0.27 | 0.15 | 54.8x | 43 | 62% |
| Supertrend period=9, mult=4.6 |
10.2% | -90.9% | 0.22 | 0.11 | 20.8x | 119 | 54% |
| Donchian 채널 돌파 entryN=11, exitN=47 |
3.0% | -99.1% | 0.21 | 0.03 | 2.5x | 121 | 81% |
| ROC 모멘텀 n=105, threshold=0.06 |
10.9% | -50.1% | 0.20 | 0.22 | 25.1x | 258 | 44% |
| MACD fast=14, slow=32, signal=16 |
0.2% | -99.1% | 0.19 | 0.00 | 1.1x | 380 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.4% | -99.2% | 0.19 | -0.00 | 0.9x | 250 | 55% |
| Buy and hold | 12.3% | -90.6% | 0.28 | 0.14 | 37.4x | 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 + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average