Trend-Following Backtester · Guide · backtest 한국어
etf · GB
F&C Investment Trust PLC GBP backtest
10 trend-following strategies were compared on the full daily history of F&C Investment Trust PLC GBP. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.0%, MDD -37.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.1%, drawdown -84.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.0%, MDD -84.8%, Sharpe 0.42, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by -0.8%p (CAGR 7.0%, MDD -37.9%, exposure 69%).
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 Hold-like · Exposure 99% n=11, threshold=-0.15 |
8.0% | -84.8% | 0.42 | 0.09 | 77.7x | 29 | 99% |
| EMA 크로스오버 fast=44, slow=169 |
7.0% | -37.9% | 0.42 | 0.19 | 46.6x | 77 | 69% |
| SMA 크로스오버 fast=22, slow=141 |
5.1% | -34.7% | 0.40 | 0.15 | 16.9x | 115 | 65% |
| Donchian 채널 돌파 entryN=10, exitN=52 |
5.3% | -88.4% | 0.33 | 0.06 | 18.1x | 235 | 88% |
| Supertrend period=27, mult=4.4 |
3.6% | -86.7% | 0.28 | 0.04 | 7.6x | 254 | 62% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=16, mult=3.7 |
-0.1% | -82.6% | 0.11 | -0.00 | 1.0x | 150 | 31% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-0.5% | -80.0% | 0.10 | -0.01 | 0.8x | 550 | 57% |
| ADX / DI 방향성 period=39, threshold=18 |
-0.7% | -85.0% | 0.07 | -0.01 | 0.7x | 130 | 27% |
| 볼린저 밴드 돌파 n=11, k=2.6 |
-1.4% | -89.3% | 0.02 | -0.02 | 0.5x | 142 | 19% |
| MACD fast=14, slow=46, signal=13 |
-3.0% | -85.9% | -0.01 | -0.03 | 0.2x | 742 | 51% |
| Buy and hold | 8.1% | -84.0% | 0.42 | 0.10 | 82.7x | 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 11-day return is greater than -15%
- Sell — Sell when the 11-day return drops to -15% or below