Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Foresight Solar Fund Limited GBP backtest
10 trend-following strategies were compared on the full daily history of Foresight Solar Fund Limited GBP. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.4%, MDD -6.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.6%, drawdown -52.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.4%, MDD -6.4%, Sharpe 0.16, 3% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 46.3%p (CAGR 0.4%, MDD -6.4%, 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=45, k=3.5 |
0.4% | -6.4% | 0.16 | 0.06 | 1.0x | 4 | 3% |
| EMA 크로스오버 fast=47, slow=289 |
-0.8% | -25.8% | -0.06 | -0.03 | 0.9x | 10 | 39% |
| SMA 크로스오버 fast=47, slow=109 |
-1.2% | -36.6% | -0.07 | -0.03 | 0.9x | 29 | 51% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=29, mult=2.2 |
-0.7% | -18.4% | -0.07 | -0.04 | 0.9x | 39 | 28% |
| Supertrend period=12, mult=5 |
-1.3% | -32.7% | -0.09 | -0.04 | 0.9x | 29 | 49% |
| ROC 모멘텀 n=104, threshold=0.11 |
-0.8% | -18.8% | -0.17 | -0.04 | 0.9x | 38 | 6% |
| ADX / DI 방향성 period=32, threshold=28 |
-0.4% | -7.7% | -0.18 | -0.05 | 1.0x | 14 | 3% |
| Donchian 채널 돌파 entryN=44, exitN=42 |
-2.2% | -43.8% | -0.19 | -0.05 | 0.8x | 37 | 47% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.0% | -38.8% | -0.23 | -0.08 | 0.7x | 89 | 53% |
| MACD fast=18, slow=59, signal=12 |
-9.2% | -72.4% | -0.83 | -0.13 | 0.3x | 182 | 49% |
| Buy and hold | -2.6% | -52.8% | -0.09 | -0.05 | 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 45-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 45-day middle average