Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Herald Investment Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Herald Investment Trust PLC. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.0%, MDD -24.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 11.0%, drawdown -81.9%).
Sharpe leader (same as main): Supertrend — CAGR 15.2%, MDD -40.5%, Sharpe 0.99, 58% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.9%, MDD -34.0%, exposure 69%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 41.4%p (CAGR 13.0%, MDD -24.4%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=3.3 |
15.2% | -40.5% | 0.99 | 0.38 | 99.1x | 202 | 58% |
| 볼린저 밴드 돌파 n=43, k=1.6 |
13.0% | -24.4% | 0.98 | 0.53 | 53.4x | 170 | 45% |
| SMA 크로스오버 fast=5, slow=71 |
14.6% | -37.1% | 0.95 | 0.39 | 84.1x | 158 | 61% |
| EMA 크로스오버 fast=13, slow=32 |
14.7% | -34.2% | 0.95 | 0.43 | 86.9x | 186 | 61% |
| Donchian 채널 돌파 entryN=20, exitN=35 |
15.9% | -34.0% | 0.95 | 0.47 | 119.4x | 124 | 69% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=20, mult=2.5 |
11.2% | -31.9% | 0.88 | 0.35 | 31.9x | 128 | 44% |
| ADX / DI 방향성 period=19, threshold=9 |
12.0% | -43.7% | 0.82 | 0.28 | 40.1x | 404 | 57% |
| Parabolic SAR step=0.03, maxStep=0.06 |
12.2% | -35.2% | 0.80 | 0.35 | 42.4x | 422 | 57% |
| ROC 모멘텀 n=149, threshold=-0.02 |
9.5% | -45.5% | 0.63 | 0.21 | 19.2x | 161 | 67% |
| MACD fast=9, slow=53, signal=13 |
8.5% | -48.8% | 0.59 | 0.17 | 14.0x | 464 | 50% |
| Buy and hold | 11.0% | -81.9% | 0.55 | 0.13 | 29.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 3.3× band
- Sell — Sell when price drops below the trend line (flips down)