Trend-Following Backtester · Guide · backtest 한국어

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Invesco Asia Dragon Trust PLC GBP backtest

10 trend-following strategies were compared on the full daily history of Invesco Asia Dragon Trust PLC GBP. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.5%, MDD -30.1%).

Data 1995-07-11 ~ 2026-07-31daily bars 7,934 (31.1 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 5.4%, drawdown -75.7%).

Sharpe leader (same as main): Supertrend — CAGR 8.3%, MDD -37.6%, Sharpe 0.58, 55% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 38.1%p (CAGR 6.5%, MDD -30.1%, exposure 42%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=11, mult=2.9
8.3%-37.6%0.580.2211.9x23655%
Parabolic SAR
step=0.01, maxStep=0.02
7.7%-48.3%0.560.1610.1x15858%
Keltner 채널 돌파
emaPeriod=61, atrPeriod=11, mult=2.3
6.5%-30.1%0.550.227.1x12842%
Donchian 채널 돌파
entryN=19, exitN=21
7.5%-34.2%0.530.229.4x17659%
ADX / DI 방향성
period=29, threshold=10
5.8%-37.9%0.490.155.8x32645%
SMA 크로스오버
fast=18, slow=184
6.5%-38.5%0.480.177.0x5558%
EMA 크로스오버
fast=30, slow=116
6.2%-40.9%0.460.156.5x6559%
볼린저 밴드 돌파
n=40, k=2
4.5%-41.9%0.430.114.0x15635%
MACD
fast=23, slow=51, signal=31
3.8%-45.2%0.310.083.2x23652%
ROC 모멘텀
n=113, threshold=0.14
1.8%-37.1%0.230.051.8x18823%
Buy and hold5.4%-75.7%0.340.075.2x1100%
1x 10x 1996 2000 2004 2008 2012 2016 2020 2024 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -38% -57% -76% 1996 2000 2004 2008 2012 2016 2020 2024 Buy and holdSupertrend
Supertrend maximum drawdown -37.6% (2021-02-16 → 2024-04-17), prior peak not yet recovered.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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