Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Gresham House Energy Storage Fund Plc GBP backtest
10 trend-following strategies were compared on the full daily history of Gresham House Energy Storage Fund Plc GBP. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.9%, MDD -12.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.6%, drawdown -79.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 18.6%, MDD -12.9%, Sharpe 1.40, 34% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 20.2%p higher than buy and hold, while drawdown improves by 66.0%p (CAGR 11.9%, MDD -12.2%, exposure 7%).
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=9, k=1.8 |
18.6% | -12.9% | 1.40 | 1.44 | 3.7x | 106 | 34% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=28, mult=1.2 |
12.6% | -13.8% | 1.21 | 0.91 | 2.5x | 44 | 15% |
| ROC 모멘텀 n=7, threshold=0.06 |
11.9% | -12.2% | 1.18 | 0.98 | 2.4x | 66 | 7% |
| Donchian 채널 돌파 entryN=28, exitN=22 |
15.2% | -15.7% | 1.10 | 0.97 | 3.0x | 25 | 55% |
| Supertrend period=14, mult=2.9 |
15.5% | -25.2% | 1.02 | 0.62 | 3.0x | 31 | 56% |
| Parabolic SAR step=0.025, maxStep=0.14 |
13.6% | -25.6% | 0.91 | 0.53 | 2.7x | 156 | 53% |
| MACD fast=7, slow=39, signal=6 |
13.8% | -33.5% | 0.88 | 0.41 | 2.7x | 154 | 49% |
| ADX / DI 방향성 period=11, threshold=17 |
11.0% | -25.3% | 0.82 | 0.43 | 2.2x | 122 | 45% |
| EMA 크로스오버 fast=7, slow=206 |
10.0% | -20.7% | 0.78 | 0.48 | 2.1x | 11 | 60% |
| SMA 크로스오버 fast=35, slow=196 |
8.6% | -20.2% | 0.73 | 0.43 | 1.9x | 9 | 55% |
| Buy and hold | -1.6% | -79.0% | 0.06 | -0.02 | 0.9x | 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 9-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 9-day middle average