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. Its 98% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.2%, drawdown -37.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.0%, MDD -33.0%, Sharpe 0.70, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 Hold-like · Exposure 98% n=16, threshold=-0.1 |
9.0% | -33.0% | 0.70 | 0.27 | 5.5x | 17 | 98% |
| SMA 크로스오버 fast=9, slow=184 |
5.3% | -21.2% | 0.54 | 0.25 | 2.8x | 45 | 68% |
| 볼린저 밴드 돌파 n=14, k=3.1 |
1.6% | -8.4% | 0.51 | 0.19 | 1.4x | 48 | 11% |
| MACD fast=14, slow=24, signal=17 |
4.5% | -20.9% | 0.51 | 0.22 | 2.4x | 238 | 49% |
| EMA 크로스오버 fast=46, slow=58 |
4.9% | -20.9% | 0.50 | 0.24 | 2.6x | 49 | 70% |
| Supertrend period=23, mult=5 |
4.3% | -28.5% | 0.45 | 0.15 | 2.3x | 113 | 73% |
| Donchian 채널 돌파 entryN=81, exitN=70 |
4.2% | -27.1% | 0.44 | 0.16 | 2.3x | 25 | 65% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=27, mult=2.7 |
2.0% | -17.4% | 0.41 | 0.12 | 1.5x | 80 | 16% |
| Parabolic SAR step=0.015, maxStep=0.1 |
1.8% | -24.3% | 0.23 | 0.07 | 1.4x | 321 | 57% |
| ADX / DI 방향성 period=19, threshold=25 |
0.3% | -16.4% | 0.11 | 0.02 | 1.1x | 52 | 7% |
| Buy and hold | 7.2% | -37.1% | 0.56 | 0.19 | 4.0x | 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 16-day return is greater than -10%
- Sell — Sell when the 16-day return drops to -10% or below