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; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.3%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -7.9%, drawdown -54.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.3%, MDD -0.5%, Sharpe 0.36, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 54.1%p (CAGR 0.3%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=90, threshold=0.21 |
0.3% | -0.5% | 0.36 | 0.64 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=31, k=2.9 |
-0.0% | -2.9% | -0.02 | -0.01 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=25, mult=2.9 |
-0.5% | -6.8% | -0.19 | -0.07 | 1.0x | 2 | 3% |
| SMA 크로스오버 fast=24, slow=83 |
-4.5% | -34.9% | -0.32 | -0.13 | 0.7x | 19 | 40% |
| ADX / DI 방향성 period=13, threshold=36 |
-1.4% | -11.4% | -0.35 | -0.12 | 0.9x | 20 | 6% |
| EMA 크로스오버 fast=22, slow=186 |
-4.5% | -34.5% | -0.42 | -0.13 | 0.7x | 15 | 27% |
| Donchian 채널 돌파 entryN=47, exitN=16 |
-4.5% | -31.8% | -0.43 | -0.14 | 0.7x | 21 | 24% |
| Supertrend period=8, mult=2.6 |
-10.2% | -55.5% | -0.65 | -0.18 | 0.5x | 41 | 54% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-11.8% | -60.5% | -0.76 | -0.19 | 0.4x | 118 | 52% |
| MACD fast=17, slow=52, signal=14 |
-14.9% | -67.6% | -1.03 | -0.22 | 0.3x | 88 | 49% |
| Buy and hold | -7.9% | -54.6% | -0.27 | -0.14 | 0.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 90-day return is greater than 21%
- Sell — Sell when the 90-day return drops to 21% or below