Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Henderson Far East Income LTD GBP backtest
10 trend-following strategies were compared on the full daily history of Henderson Far East Income LTD GBP. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.2%, MDD -44.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.3%, drawdown -63.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.2%, MDD -44.0%, Sharpe 0.36, 32% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.2%, MDD -63.7%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 19.7%p (CAGR 4.2%, MDD -44.0%, exposure 32%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=9, mult=4 |
4.2% | -44.0% | 0.36 | 0.09 | 6.6x | 152 | 32% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.12 |
5.2% | -63.7% | 0.34 | 0.08 | 10.4x | 11 | 100% |
| Supertrend period=10, mult=4.8 |
4.0% | -43.6% | 0.32 | 0.09 | 6.1x | 284 | 50% |
| Donchian 채널 돌파 entryN=42, exitN=71 |
3.6% | -53.8% | 0.29 | 0.07 | 5.1x | 115 | 65% |
| EMA 크로스오버 fast=40, slow=75 |
3.3% | -47.8% | 0.28 | 0.07 | 4.5x | 115 | 59% |
| ADX / DI 방향성 period=37, threshold=21 |
2.7% | -47.3% | 0.28 | 0.06 | 3.5x | 78 | 24% |
| SMA 크로스오버 fast=10, slow=149 |
2.7% | -55.7% | 0.25 | 0.05 | 3.5x | 137 | 58% |
| MACD fast=28, slow=41, signal=23 |
2.4% | -78.4% | 0.23 | 0.03 | 3.1x | 396 | 50% |
| 볼린저 밴드 돌파 n=24, k=2.5 |
2.2% | -46.1% | 0.23 | 0.05 | 2.7x | 230 | 29% |
| Parabolic SAR step=0.015, maxStep=0.16 |
0.3% | -76.5% | 0.10 | 0.00 | 1.1x | 640 | 56% |
| Buy and hold | 5.3% | -63.7% | 0.34 | 0.08 | 10.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 46-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 46-day average