Trend-Following Backtester · Guide · backtest 한국어
etf · GB
CQS Natural Resources Growth and Income PLC GBP backtest
10 trend-following strategies were compared on the full daily history of CQS Natural Resources Growth and Income PLC GBP. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.7%, MDD -16.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.6%, drawdown -86.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 17.8%, MDD -42.0%, Sharpe 1.19, 38% exposure.
CAGR reference leader: Parabolic SAR — CAGR 19.2%, MDD -54.8%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.2%p higher than buy and hold, while drawdown improves by 44.0%p (CAGR 8.7%, MDD -16.7%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=16, k=1.8 |
17.8% | -42.0% | 1.19 | 0.42 | 179.9x | 317 | 38% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=21, mult=3.5 |
8.7% | -16.7% | 1.14 | 0.52 | 14.0x | 82 | 14% |
| Parabolic SAR step=0.045, maxStep=0.1 |
19.2% | -54.8% | 1.07 | 0.35 | 258.0x | 600 | 53% |
| Donchian 채널 돌파 entryN=37, exitN=8 |
11.8% | -45.0% | 0.93 | 0.26 | 34.1x | 206 | 31% |
| ADX / DI 방향성 period=14, threshold=8 |
15.6% | -61.1% | 0.92 | 0.26 | 98.5x | 518 | 52% |
| Supertrend period=10, mult=1.6 |
15.8% | -44.7% | 0.90 | 0.35 | 105.3x | 503 | 53% |
| MACD fast=11, slow=51, signal=10 |
14.7% | -58.9% | 0.84 | 0.25 | 77.7x | 419 | 51% |
| EMA 크로스오버 fast=4, slow=20 |
13.3% | -59.3% | 0.79 | 0.22 | 52.5x | 375 | 54% |
| ROC 모멘텀 n=45, threshold=0.1 |
7.1% | -33.2% | 0.58 | 0.21 | 8.8x | 258 | 25% |
| SMA 크로스오버 fast=5, slow=218 |
9.1% | -43.1% | 0.58 | 0.21 | 15.7x | 81 | 54% |
| Buy and hold | 4.6% | -86.0% | 0.30 | 0.05 | 4.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 16-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 16-day middle average