Trend-Following Backtester · Guide · backtest 한국어
etf · GB
GCP Infrastructure Investments Ltd GBP backtest
10 trend-following strategies were compared on the full daily history of GCP Infrastructure Investments Ltd GBP. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.5%, MDD -3.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.2%, drawdown -55.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.5%, MDD -3.2%, Sharpe 0.33, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 52.2%p (CAGR 0.5%, MDD -3.2%, exposure 0%).
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 n=7, threshold=0.13 |
0.5% | -3.2% | 0.33 | 0.16 | 1.1x | 4 | 0% |
| ADX / DI 방향성 period=38, threshold=31 |
-0.0% | -7.6% | 0.01 | -0.00 | 1.0x | 2 | 2% |
| EMA 크로스오버 fast=42, slow=259 |
-0.7% | -32.9% | -0.04 | -0.02 | 0.9x | 23 | 53% |
| 볼린저 밴드 돌파 n=38, k=3.4 |
-0.2% | -14.3% | -0.06 | -0.01 | 1.0x | 11 | 4% |
| SMA 크로스오버 fast=54, slow=204 |
-1.0% | -30.7% | -0.06 | -0.03 | 0.9x | 27 | 50% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=27, mult=2.5 |
-0.3% | -5.6% | -0.18 | -0.05 | 1.0x | 4 | 1% |
| Donchian 채널 돌파 entryN=61, exitN=77 |
-2.5% | -44.6% | -0.19 | -0.06 | 0.7x | 31 | 62% |
| Supertrend period=13, mult=2.3 |
-4.6% | -60.8% | -0.37 | -0.08 | 0.5x | 123 | 53% |
| Parabolic SAR step=0.02, maxStep=0.36 |
-7.0% | -73.2% | -0.62 | -0.10 | 0.3x | 311 | 51% |
| MACD fast=19, slow=55, signal=24 |
-7.5% | -74.4% | -0.72 | -0.10 | 0.3x | 155 | 51% |
| Buy and hold | -1.2% | -55.5% | 0.02 | -0.02 | 0.8x | 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 7-day return is greater than 13%
- Sell — Sell when the 7-day return drops to 13% or below