Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Octopus Renewables Infrastructure Trust Plc backtest
10 trend-following strategies were compared on the full daily history of Octopus Renewables Infrastructure Trust Plc. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -0.0%, MDD -2.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR -7.9%, drawdown -54.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR -0.0%, MDD -2.9%, Sharpe -0.02, 2% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 51.7%p (CAGR -0.0%, MDD -2.9%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=31, k=3.4 |
-0.0% | -2.9% | -0.02 | -0.01 | 1.0x | 2 | 2% |
| ROC 모멘텀 n=65, threshold=0.12 |
-0.6% | -8.5% | -0.13 | -0.07 | 1.0x | 20 | 4% |
| ADX / DI 방향성 period=19, threshold=36 |
-0.3% | -4.0% | -0.17 | -0.07 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=28, mult=2.9 |
-0.5% | -6.8% | -0.19 | -0.07 | 1.0x | 2 | 3% |
| SMA 크로스오버 fast=31, slow=75 |
-3.6% | -34.3% | -0.25 | -0.10 | 0.8x | 22 | 40% |
| Donchian 채널 돌파 entryN=53, exitN=15 |
-3.7% | -31.4% | -0.35 | -0.12 | 0.8x | 20 | 22% |
| EMA 크로스오버 fast=21, slow=197 |
-4.6% | -33.7% | -0.44 | -0.14 | 0.7x | 16 | 27% |
| MACD fast=52, slow=54, signal=28 |
-8.7% | -60.9% | -0.53 | -0.14 | 0.5x | 44 | 49% |
| Supertrend period=5, mult=1.7 |
-9.1% | -56.9% | -0.60 | -0.16 | 0.5x | 64 | 49% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-12.1% | -60.7% | -0.79 | -0.20 | 0.4x | 121 | 52% |
| Buy and hold | -7.9% | -54.6% | -0.27 | -0.14 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 31-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 31-day middle average