Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Mercantile Investment Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Mercantile Investment Trust PLC. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.5%, drawdown -91.8%).
Sharpe leader (same as main): Supertrend — CAGR 1.6%, MDD -92.3%, Sharpe 0.26, 55% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 2.6%, MDD -65.5%, exposure 36%.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=4.1 |
1.6% | -92.3% | 0.26 | 0.02 | 2.3x | 367 | 55% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=9, mult=3.8 |
2.6% | -65.5% | 0.25 | 0.04 | 4.0x | 232 | 36% |
| Donchian 채널 돌파 entryN=25, exitN=40 |
0.1% | -91.3% | 0.19 | 0.00 | 1.0x | 247 | 65% |
| ROC 모멘텀 n=119, threshold=-0.1 |
-1.9% | -98.9% | 0.19 | -0.02 | 0.3x | 159 | 82% |
| EMA 크로스오버 fast=17, slow=32 |
-0.6% | -90.7% | 0.16 | -0.01 | 0.7x | 303 | 60% |
| SMA 크로스오버 fast=33, slow=209 |
0.4% | -92.0% | 0.15 | 0.00 | 1.2x | 83 | 67% |
| Parabolic SAR step=0.005, maxStep=0.12 |
0.4% | -99.3% | 0.15 | 0.00 | 1.2x | 325 | 58% |
| 볼린저 밴드 돌파 n=28, k=1.1 |
2.6% | -94.2% | 0.15 | 0.03 | 3.9x | 479 | 49% |
| MACD fast=25, slow=49, signal=18 |
1.5% | -93.1% | 0.14 | 0.02 | 2.2x | 453 | 52% |
| ADX / DI 방향성 period=9, threshold=25 |
-0.4% | -97.4% | 0.13 | -0.00 | 0.8x | 741 | 43% |
| Buy and hold | 7.5% | -91.8% | 0.22 | 0.08 | 48.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)