Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Monks Investment Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Monks Investment Trust PLC. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.1%, drawdown -70.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -48.2%, Sharpe 0.49, 68% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.8%, MDD -68.2%, exposure 79%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=7, slow=192 |
6.4% | -48.2% | 0.49 | 0.13 | 34.3x | 139 | 68% |
| ROC 모멘텀 n=130, threshold=-0.08 |
7.6% | -39.8% | 0.49 | 0.19 | 61.8x | 197 | 85% |
| EMA 크로스오버 fast=14, slow=183 |
6.5% | -46.1% | 0.47 | 0.14 | 35.4x | 117 | 71% |
| Donchian 채널 돌파 entryN=21, exitN=57 |
7.8% | -68.2% | 0.45 | 0.11 | 71.0x | 203 | 79% |
| 볼린저 밴드 돌파 n=81, k=1.4 |
4.5% | -38.0% | 0.38 | 0.12 | 12.3x | 192 | 51% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=11, mult=1.8 |
4.0% | -49.2% | 0.33 | 0.08 | 9.1x | 268 | 57% |
| ADX / DI 방향성 period=55, threshold=15 |
3.3% | -35.6% | 0.31 | 0.09 | 6.2x | 134 | 38% |
| Supertrend period=26, mult=4.6 |
4.2% | -77.7% | 0.30 | 0.05 | 10.5x | 277 | 62% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.0% | -55.5% | 0.27 | 0.05 | 5.4x | 372 | 60% |
| MACD fast=13, slow=68, signal=12 |
2.1% | -64.6% | 0.20 | 0.03 | 3.2x | 690 | 49% |
| Buy and hold | 13.1% | -70.3% | 0.33 | 0.19 | 1046.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 7-day average price crosses above the 192-day average
- Sell — Sell (to cash) when the 7-day average falls below the 192-day average