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. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 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
9 of 10 beat buy and hold (CAGR 10.9%, drawdown -81.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.4%, MDD -32.9%, Sharpe 1.01, 72% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 49.0%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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=15, exitN=38 |
17.4% | -32.9% | 1.01 | 0.53 | 190.0x | 126 | 72% |
| Supertrend period=11, mult=3.3 |
15.1% | -40.5% | 0.99 | 0.37 | 99.1x | 202 | 58% |
| 볼린저 밴드 돌파 n=43, k=1.6 |
13.0% | -24.4% | 0.98 | 0.53 | 53.4x | 170 | 45% |
| EMA 크로스오버 fast=7, slow=54 |
14.5% | -40.1% | 0.94 | 0.36 | 82.3x | 172 | 61% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=9, mult=2.2 |
11.8% | -34.9% | 0.92 | 0.34 | 38.3x | 144 | 45% |
| SMA 크로스오버 fast=5, slow=81 |
13.5% | -43.6% | 0.89 | 0.31 | 61.8x | 146 | 61% |
| ADX / DI 방향성 period=18, threshold=12 |
12.0% | -44.7% | 0.82 | 0.27 | 40.0x | 398 | 55% |
| Parabolic SAR step=0.03, maxStep=0.06 |
12.0% | -35.2% | 0.79 | 0.34 | 41.0x | 425 | 57% |
| ROC 모멘텀 n=83, threshold=-0.02 |
11.7% | -50.5% | 0.76 | 0.23 | 37.7x | 210 | 67% |
| MACD fast=9, slow=57, signal=11 |
8.9% | -48.9% | 0.61 | 0.18 | 16.2x | 489 | 50% |
| Buy and hold | 10.9% | -81.9% | 0.55 | 0.13 | 29.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 15 days
- Sell — Sell when price breaks below the lowest low of the last 38 days