Trend-Following Backtester · Guide · backtest 한국어
etf · GB
City of London Investment Trust PLC backtest
10 trend-following strategies were compared on the full daily history of City of London Investment Trust PLC. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.6%, drawdown -67.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.8%, MDD -63.3%, Sharpe 0.39, 89% exposure.
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 n=123, threshold=-0.11 |
5.8% | -63.3% | 0.39 | 0.09 | 24.3x | 131 | 89% |
| Donchian 채널 돌파 entryN=97, exitN=133 |
5.3% | -52.2% | 0.38 | 0.10 | 18.2x | 59 | 70% |
| EMA 크로스오버 fast=52, slow=180 |
4.4% | -49.5% | 0.34 | 0.09 | 11.7x | 75 | 70% |
| SMA 크로스오버 fast=43, slow=123 |
3.8% | -40.7% | 0.32 | 0.09 | 8.2x | 115 | 62% |
| ADX / DI 방향성 period=44, threshold=38 |
2.3% | -32.1% | 0.25 | 0.07 | 3.6x | 44 | 15% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=24, mult=3.6 |
2.0% | -54.2% | 0.21 | 0.04 | 3.1x | 190 | 40% |
| 볼린저 밴드 돌파 n=42, k=2.8 |
0.8% | -42.6% | 0.13 | 0.02 | 1.6x | 90 | 18% |
| Supertrend period=31, mult=3.7 |
-0.0% | -62.8% | 0.08 | -0.00 | 1.0x | 437 | 63% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-0.4% | -85.6% | 0.05 | -0.00 | 0.8x | 367 | 60% |
| MACD fast=23, slow=34, signal=19 |
-2.8% | -91.9% | -0.09 | -0.03 | 0.2x | 601 | 48% |
| Buy and hold | 7.6% | -67.6% | 0.42 | 0.11 | 63.9x | 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 123-day return is greater than -11%
- Sell — Sell when the 123-day return drops to -11% or below