Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Global Smaller Companies Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Global Smaller Companies Trust PLC. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.4%, MDD -41.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.7%, drawdown -70.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -41.2%, Sharpe 0.69, 62% exposure.
CAGR reference leader: Supertrend — CAGR 10.2%, MDD -62.9%, exposure 64%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 29.7%p (CAGR 9.4%, MDD -41.2%, exposure 62%).
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=5, slow=121 |
9.4% | -41.2% | 0.69 | 0.23 | 161.6x | 169 | 62% |
| Supertrend period=27, mult=3.8 |
10.2% | -62.9% | 0.68 | 0.16 | 246.3x | 297 | 64% |
| Parabolic SAR step=0.01, maxStep=0.26 |
9.6% | -54.6% | 0.67 | 0.18 | 178.9x | 499 | 57% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=28, mult=3 |
7.2% | -49.3% | 0.59 | 0.15 | 52.4x | 184 | 37% |
| 볼린저 밴드 돌파 n=37, k=1.4 |
7.5% | -53.1% | 0.59 | 0.14 | 59.6x | 318 | 48% |
| EMA 크로스오버 fast=12, slow=124 |
8.0% | -46.9% | 0.58 | 0.17 | 79.3x | 129 | 65% |
| ADX / DI 방향성 period=17, threshold=33 |
6.7% | -47.6% | 0.56 | 0.14 | 39.3x | 218 | 35% |
| Donchian 채널 돌파 entryN=62, exitN=22 |
7.1% | -50.4% | 0.54 | 0.14 | 47.7x | 205 | 48% |
| ROC 모멘텀 Hold-like · Exposure 96% n=11, threshold=-0.07 |
9.6% | -75.6% | 0.51 | 0.13 | 180.7x | 193 | 96% |
| MACD fast=16, slow=46, signal=19 |
5.3% | -54.6% | 0.42 | 0.10 | 18.7x | 564 | 49% |
| Buy and hold | 9.7% | -70.9% | 0.50 | 0.14 | 191.6x | 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 5-day average price crosses above the 121-day average
- Sell — Sell (to cash) when the 5-day average falls below the 121-day average