Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Invesco Global Equity Income Trust plc Global Equity IncomeGBP backtest
10 trend-following strategies were compared on the full daily history of Invesco Global Equity Income Trust plc Global Equity IncomeGBP. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.4%, drawdown -37.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.8%, MDD -30.2%, Sharpe 0.68, 93% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=30, threshold=-0.06 |
7.8% | -30.2% | 0.68 | 0.26 | 4.4x | 65 | 93% |
| Donchian 채널 돌파 entryN=8, exitN=128 |
6.9% | -36.3% | 0.57 | 0.19 | 3.7x | 35 | 95% |
| SMA 크로스오버 fast=6, slow=198 |
5.0% | -25.0% | 0.51 | 0.20 | 2.6x | 53 | 68% |
| MACD fast=19, slow=34, signal=10 |
4.2% | -18.0% | 0.48 | 0.23 | 2.2x | 239 | 49% |
| EMA 크로스오버 fast=26, slow=84 |
4.6% | -19.9% | 0.47 | 0.23 | 2.4x | 55 | 70% |
| Supertrend period=24, mult=4.6 |
3.5% | -28.5% | 0.37 | 0.12 | 2.0x | 131 | 73% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=26, mult=2.6 |
1.6% | -17.4% | 0.33 | 0.09 | 1.4x | 86 | 16% |
| 볼린저 밴드 돌파 n=17, k=1.6 |
2.1% | -36.2% | 0.29 | 0.06 | 1.5x | 231 | 44% |
| Parabolic SAR step=0.02, maxStep=0.28 |
0.5% | -27.5% | 0.10 | 0.02 | 1.1x | 401 | 57% |
| ADX / DI 방향성 period=13, threshold=31 |
0.1% | -10.4% | 0.06 | 0.01 | 1.0x | 54 | 6% |
| Buy and hold | 7.4% | -37.1% | 0.57 | 0.20 | 4.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 30-day return is greater than -6%
- Sell — Sell when the 30-day return drops to -6% or below