Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Finsbury Growth & Income Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Finsbury Growth & Income Trust PLC. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.2%, MDD -46.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.4%, drawdown -79.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.4%, MDD -45.7%, Sharpe 0.37, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.2%, MDD -46.3%, exposure 65%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.0%p lower than buy and hold, while drawdown improves by 33.9%p (CAGR 11.2%, MDD -46.3%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=39, slow=109 |
5.4% | -45.7% | 0.37 | 0.12 | 19.6x | 129 | 61% |
| EMA 크로스오버 fast=41, slow=108 |
3.6% | -49.8% | 0.30 | 0.07 | 7.6x | 117 | 65% |
| ROC 모멘텀 n=82, threshold=-0.03 |
4.2% | -73.4% | 0.29 | 0.06 | 10.3x | 405 | 74% |
| Donchian 채널 돌파 entryN=119, exitN=96 |
11.2% | -46.3% | 0.19 | 0.24 | 410.9x | 63 | 65% |
| Parabolic SAR step=0.01, maxStep=0.26 |
1.5% | -70.8% | 0.17 | 0.02 | 2.3x | 517 | 59% |
| MACD fast=13, slow=27, signal=15 |
3.7% | -77.2% | 0.14 | 0.05 | 7.6x | 743 | 47% |
| 볼린저 밴드 돌파 n=13, k=2.7 |
1.7% | -88.5% | 0.12 | 0.02 | 2.6x | 251 | 24% |
| Supertrend period=8, mult=2.1 |
1.2% | -94.7% | 0.12 | 0.01 | 1.9x | 611 | 59% |
| ADX / DI 방향성 period=39, threshold=19 |
0.7% | -75.8% | 0.11 | 0.01 | 1.5x | 170 | 35% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=28, mult=2.6 |
-0.9% | -86.8% | 0.00 | -0.01 | 0.6x | 259 | 41% |
| Buy and hold | 12.4% | -79.6% | 0.21 | 0.16 | 761.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 39-day average price crosses above the 109-day average
- Sell — Sell (to cash) when the 39-day average falls below the 109-day average