Trend-Following Backtester · Guide · backtest 한국어
etf · GB
European Smaller Companies Trust PLC backtest
10 trend-following strategies were compared on the full daily history of European Smaller Companies Trust PLC. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.5%, MDD -25.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.8%, drawdown -91.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.8%, MDD -21.6%, Sharpe 0.75, 12% exposure.
CAGR reference leader: Parabolic SAR — CAGR 19.2%, MDD -46.1%, exposure 62%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.0%p lower than buy and hold, while drawdown improves by 70.2%p (CAGR 12.5%, MDD -25.0%, exposure 40%).
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=24, k=2.9 |
4.8% | -21.6% | 0.75 | 0.22 | 5.3x | 60 | 12% |
| SMA 크로스오버 fast=39, slow=67 |
14.0% | -41.9% | 0.63 | 0.34 | 111.4x | 130 | 62% |
| Donchian 채널 돌파 entryN=99, exitN=23 |
12.5% | -25.0% | 0.62 | 0.50 | 67.9x | 106 | 40% |
| EMA 크로스오버 fast=14, slow=111 |
11.0% | -89.4% | 0.57 | 0.12 | 43.0x | 79 | 62% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=25, mult=2.1 |
11.5% | -49.5% | 0.57 | 0.23 | 50.5x | 186 | 50% |
| ADX / DI 방향성 period=32, threshold=21 |
11.1% | -27.5% | 0.57 | 0.40 | 43.7x | 136 | 33% |
| Supertrend period=16, mult=4.3 |
10.9% | -53.6% | 0.53 | 0.20 | 40.5x | 233 | 60% |
| ROC 모멘텀 n=153, threshold=-0.03 |
8.5% | -91.0% | 0.48 | 0.09 | 18.6x | 177 | 67% |
| Parabolic SAR step=0.01, maxStep=0.02 |
19.2% | -46.1% | 0.28 | 0.42 | 544.0x | 156 | 62% |
| MACD fast=18, slow=36, signal=14 |
10.0% | -91.5% | 0.24 | 0.11 | 30.2x | 402 | 52% |
| Buy and hold | 12.8% | -91.8% | 0.27 | 0.14 | 74.5x | 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 24-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 24-day middle average