Trend-Following Backtester · Guide · backtest 한국어
etf · GB
International Biotechnology Trust PLC backtest
10 trend-following strategies were compared on the full daily history of International Biotechnology Trust PLC. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.4%, MDD -17.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 7.4%, drawdown -85.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.4%, MDD -17.1%, Sharpe 1.01, 16% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.2%, MDD -51.8%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 68.3%p (CAGR 11.4%, MDD -17.1%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=16, k=2.8 |
11.4% | -17.1% | 1.01 | 0.67 | 33.0x | 114 | 16% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=11, mult=2.4 |
10.3% | -23.0% | 0.90 | 0.45 | 23.8x | 118 | 19% |
| ADX / DI 방향성 period=10, threshold=36 |
10.0% | -30.1% | 0.83 | 0.33 | 22.1x | 212 | 22% |
| Donchian 채널 돌파 entryN=69, exitN=42 |
14.2% | -51.8% | 0.77 | 0.27 | 74.0x | 55 | 50% |
| Supertrend period=27, mult=4.3 |
13.1% | -57.7% | 0.77 | 0.23 | 53.6x | 132 | 57% |
| EMA 크로스오버 fast=8, slow=104 |
13.5% | -52.1% | 0.72 | 0.26 | 60.5x | 99 | 56% |
| SMA 크로스오버 fast=13, slow=126 |
12.5% | -51.8% | 0.67 | 0.24 | 44.7x | 89 | 55% |
| ROC 모멘텀 n=108, threshold=-0.03 |
10.5% | -64.9% | 0.57 | 0.16 | 25.2x | 201 | 62% |
| Parabolic SAR step=0.015, maxStep=0.32 |
9.3% | -72.7% | 0.57 | 0.13 | 17.8x | 484 | 51% |
| MACD fast=14, slow=93, signal=15 |
9.0% | -64.2% | 0.55 | 0.14 | 16.1x | 312 | 51% |
| Buy and hold | 7.4% | -85.4% | 0.39 | 0.09 | 10.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 16-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 16-day middle average