Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Murray International Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Murray International Trust PLC. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.1%, drawdown -85.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.4%, MDD -34.9%, Sharpe 0.24, 49% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.0%, MDD -80.3%, exposure 64%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=117, exitN=49 |
2.4% | -34.9% | 0.24 | 0.07 | 3.8x | 115 | 49% |
| EMA 크로스오버 fast=58, slow=140 |
1.5% | -85.3% | 0.22 | 0.02 | 2.3x | 77 | 65% |
| SMA 크로스오버 fast=47, slow=207 |
4.0% | -80.3% | 0.19 | 0.05 | 9.2x | 71 | 64% |
| ROC 모멘텀 n=147, threshold=-0.03 |
0.9% | -88.4% | 0.19 | 0.01 | 1.7x | 241 | 72% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=3.3 |
1.2% | -49.9% | 0.16 | 0.02 | 2.0x | 172 | 38% |
| ADX / DI 방향성 period=31, threshold=16 |
0.8% | -57.4% | 0.13 | 0.01 | 1.6x | 248 | 38% |
| 볼린저 밴드 돌파 n=44, k=2.1 |
1.6% | -61.7% | 0.12 | 0.03 | 2.5x | 263 | 36% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-1.0% | -89.4% | 0.10 | -0.01 | 0.6x | 569 | 56% |
| Supertrend period=15, mult=2.3 |
0.3% | -70.0% | 0.10 | 0.00 | 1.2x | 585 | 57% |
| MACD fast=12, slow=32, signal=16 |
-3.7% | -99.0% | 0.08 | -0.04 | 0.1x | 745 | 49% |
| Buy and hold | 7.1% | -85.0% | 0.25 | 0.08 | 47.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 117 days
- Sell — Sell when price breaks below the lowest low of the last 49 days