Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Dunedin Income Growth Investment Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Dunedin Income Growth Investment Trust PLC. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.7%, MDD -35.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.8%, drawdown -71.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.6%, MDD -53.5%, Sharpe 0.23, 65% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.7%, MDD -35.8%, exposure 64%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.3%p lower than buy and hold, while drawdown improves by 18.1%p (CAGR 6.7%, MDD -35.8%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=8, slow=210 |
2.6% | -53.5% | 0.23 | 0.05 | 4.2x | 163 | 65% |
| Donchian 채널 돌파 entryN=61, exitN=47 |
2.5% | -40.6% | 0.22 | 0.06 | 4.0x | 157 | 55% |
| SMA 크로스오버 fast=9, slow=276 |
6.7% | -35.8% | 0.21 | 0.19 | 39.0x | 115 | 64% |
| ADX / DI 방향성 period=34, threshold=20 |
2.1% | -35.0% | 0.21 | 0.06 | 3.3x | 136 | 30% |
| Supertrend period=27, mult=4.6 |
4.4% | -49.9% | 0.18 | 0.09 | 11.3x | 299 | 61% |
| ROC 모멘텀 n=112, threshold=-0.04 |
4.1% | -67.8% | 0.17 | 0.06 | 9.5x | 335 | 75% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=24, mult=3.3 |
1.5% | -45.6% | 0.17 | 0.03 | 2.3x | 184 | 33% |
| 볼린저 밴드 돌파 n=20, k=3.5 |
1.3% | -52.4% | 0.16 | 0.03 | 2.1x | 100 | 19% |
| MACD fast=14, slow=34, signal=17 |
1.1% | -93.5% | 0.12 | 0.01 | 1.9x | 719 | 47% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-0.0% | -91.6% | 0.10 | -0.00 | 1.0x | 711 | 57% |
| Buy and hold | 8.8% | -71.6% | 0.26 | 0.12 | 120.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 8-day EMA crosses above the 210-day EMA
- Sell — Sell when the 8-day EMA falls below the 210-day EMA