Trend-Following Backtester · Guide · backtest 한국어
etf · GB
North American Income Trust PLC GBP Ord.Shs backtest
10 trend-following strategies were compared on the full daily history of North American Income Trust PLC GBP Ord.Shs. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -75.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.3%, MDD -37.8%, Sharpe 0.33, 67% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=70, slow=166 |
4.3% | -37.8% | 0.33 | 0.11 | 9.7x | 67 | 67% |
| SMA 크로스오버 fast=51, slow=212 |
4.0% | -41.3% | 0.32 | 0.10 | 8.5x | 69 | 64% |
| Donchian 채널 돌파 entryN=21, exitN=71 |
3.1% | -74.6% | 0.24 | 0.04 | 5.2x | 201 | 78% |
| ADX / DI 방향성 period=39, threshold=25 |
0.9% | -42.1% | 0.13 | 0.02 | 1.6x | 100 | 25% |
| ROC 모멘텀 n=135, threshold=-0.04 |
0.3% | -74.8% | 0.10 | 0.00 | 1.2x | 323 | 74% |
| 볼린저 밴드 돌파 n=46, k=3.5 |
0.5% | -52.9% | 0.10 | 0.01 | 1.3x | 68 | 13% |
| Supertrend period=23, mult=3 |
-0.2% | -79.4% | 0.08 | -0.00 | 0.9x | 401 | 57% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=14, mult=4 |
-0.0% | -49.5% | 0.07 | -0.00 | 1.0x | 172 | 35% |
| Parabolic SAR step=0.005, maxStep=0.4 |
-0.6% | -61.6% | 0.04 | -0.01 | 0.7x | 351 | 56% |
| MACD fast=21, slow=45, signal=19 |
-1.6% | -77.4% | -0.01 | -0.02 | 0.4x | 556 | 50% |
| Buy and hold | 6.7% | -75.5% | 0.38 | 0.09 | 33.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 70-day EMA crosses above the 166-day EMA
- Sell — Sell when the 70-day EMA falls below the 166-day EMA