Trend-Following Backtester · Guide · backtest 한국어
etf · GB
VH Global Energy Infrastructure PLC backtest
10 trend-following strategies were compared on the full daily history of VH Global Energy Infrastructure PLC. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -4.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.5%, drawdown -57.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.8%, MDD -11.2%, Sharpe 0.38, 6% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 46.0%p (CAGR 0.3%, MDD -4.8%, exposure 3%).
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=13, k=2.6 |
2.8% | -11.2% | 0.38 | 0.25 | 1.2x | 12 | 6% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=7, mult=2.5 |
0.9% | -6.1% | 0.30 | 0.14 | 1.0x | 4 | 3% |
| SMA 크로스오버 fast=13, slow=98 |
1.9% | -28.3% | 0.22 | 0.07 | 1.1x | 15 | 41% |
| EMA 크로스오버 fast=23, slow=63 |
1.6% | -19.4% | 0.20 | 0.08 | 1.1x | 9 | 43% |
| Donchian 채널 돌파 entryN=21, exitN=44 |
1.3% | -34.9% | 0.16 | 0.04 | 1.1x | 15 | 52% |
| ADX / DI 방향성 period=38, threshold=30 |
0.3% | -4.8% | 0.10 | 0.05 | 1.0x | 2 | 3% |
| Supertrend period=17, mult=1.7 |
-0.4% | -34.2% | 0.04 | -0.01 | 1.0x | 51 | 45% |
| ROC 모멘텀 n=45, threshold=0.1 |
0.1% | -9.1% | 0.04 | 0.01 | 1.0x | 18 | 8% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-0.8% | -38.8% | 0.01 | -0.02 | 1.0x | 73 | 47% |
| MACD fast=10, slow=54, signal=16 |
-3.9% | -43.3% | -0.23 | -0.09 | 0.8x | 64 | 44% |
| Buy and hold | -5.5% | -57.2% | -0.16 | -0.10 | 0.7x | 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 13-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 13-day middle average