Trend-Following Backtester · Guide · backtest 한국어
etf · GB
3i Infrastructure PLC backtest
10 trend-following strategies were compared on the full daily history of 3i Infrastructure PLC. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.4%, drawdown -41.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.0%, MDD -44.6%, Sharpe 0.31, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=10, threshold=-0.11 |
4.0% | -44.6% | 0.31 | 0.09 | 2.1x | 27 | 99% |
| EMA 크로스오버 fast=35, slow=143 |
2.1% | -25.9% | 0.22 | 0.08 | 1.5x | 31 | 75% |
| Donchian 채널 돌파 entryN=29, exitN=78 |
1.5% | -43.2% | 0.18 | 0.03 | 1.3x | 37 | 81% |
| SMA 크로스오버 fast=41, slow=222 |
1.5% | -43.4% | 0.17 | 0.04 | 1.3x | 21 | 72% |
| ADX / DI 방향성 period=29, threshold=33 |
0.0% | -5.9% | 0.04 | 0.01 | 1.0x | 6 | 2% |
| Supertrend period=19, mult=4.9 |
-1.2% | -41.8% | -0.03 | -0.03 | 0.8x | 57 | 62% |
| 볼린저 밴드 돌파 n=36, k=3.5 |
-1.2% | -22.2% | -0.35 | -0.05 | 0.8x | 22 | 4% |
| Parabolic SAR step=0.005, maxStep=0.4 |
-4.9% | -67.3% | -0.36 | -0.07 | 0.4x | 163 | 59% |
| MACD fast=12, slow=40, signal=16 |
-7.3% | -79.3% | -0.54 | -0.09 | 0.2x | 274 | 50% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=8, mult=3.6 |
-3.7% | -56.1% | -0.62 | -0.07 | 0.5x | 50 | 15% |
| Buy and hold | 5.4% | -41.4% | 0.36 | 0.13 | 2.7x | 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 10-day return is greater than -11%
- Sell — Sell when the 10-day return drops to -11% or below