Trend-Following Backtester · Guide · backtest 한국어

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Bankers Investment Trust PLC GBP backtest

10 trend-following strategies were compared on the full daily history of Bankers Investment Trust PLC GBP. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 1970-01-01 ~ 2026-07-31daily bars 14,592 (56.6 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 9.2%, drawdown -90.9%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.3%, MDD -69.3%, Sharpe 0.29, 60% exposure.

CAGR reference leader: Supertrend — CAGR 4.3%, MDD -76.6%, exposure 64%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=65, exitN=51
3.3%-69.3%0.290.056.3x14160%
EMA 크로스오버
fast=17, slow=279
2.0%-90.5%0.280.023.0x7770%
ROC 모멘텀
n=103, threshold=-0.11
1.9%-94.3%0.270.022.9x12989%
볼린저 밴드 돌파
n=55, k=2.4
1.9%-39.6%0.220.052.9x15435%
SMA 크로스오버
fast=15, slow=198
-0.0%-91.6%0.19-0.001.0x12767%
Keltner 채널 돌파
emaPeriod=53, atrPeriod=19, mult=2.4
1.6%-69.9%0.180.022.5x24648%
Supertrend
period=21, mult=2.8
4.3%-76.6%0.140.0611.1x47864%
Parabolic SAR
step=0.005, maxStep=0.28
1.7%-94.7%0.140.022.5x36262%
ADX / DI 방향성
period=11, threshold=24
2.2%-76.6%0.130.033.5x58242%
MACD
fast=15, slow=24, signal=18
-1.0%-95.6%0.12-0.010.6x75648%
Buy and hold9.2%-90.9%0.200.10146.3x1100%
1x 10x 100x 1971 1978 1985 1992 1999 2006 2013 2020 SupertrendDonchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), Supertrend (CAGR reference), Buy and hold.
0% -23% -45% -68% -91% 1971 1978 1985 1992 1999 2006 2013 2020 Buy and holdSupertrendDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -69.3% (1972-10-30 → 1975-08-01), recovered after 5,114 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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