Trend-Following Backtester · Guide · backtest 한국어

etf · GB

Polar Capital Global Healthcare Trust plc backtest

10 trend-following strategies were compared on the full daily history of Polar Capital Global Healthcare Trust plc. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.3%, MDD -22.9%).

Data 2010-06-15 ~ 2026-07-31daily bars 4,076 (16.1 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 9.5%, drawdown -34.1%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.3%, MDD -22.9%, Sharpe 0.62, 94% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 11.3%p (CAGR 9.3%, MDD -22.9%, exposure 94%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=120, threshold=-0.11
9.3%-22.9%0.620.404.2x1994%
Donchian 채널 돌파
entryN=9, exitN=80
7.0%-23.7%0.520.303.0x4389%
SMA 크로스오버
fast=72, slow=228
5.9%-34.5%0.450.172.5x1773%
Parabolic SAR
step=0.015, maxStep=0.06
4.4%-22.6%0.420.202.0x20756%
EMA 크로스오버
fast=61, slow=258
4.5%-38.1%0.360.122.0x1383%
볼린저 밴드 돌파
n=40, k=2.7
2.0%-21.6%0.350.091.4x4020%
Supertrend
period=28, mult=4.3
3.2%-23.1%0.310.141.7x5366%
MACD
fast=23, slow=28, signal=18
2.8%-34.6%0.300.081.6x17650%
Keltner 채널 돌파
emaPeriod=43, atrPeriod=11, mult=2.2
0.6%-27.1%0.110.021.1x7933%
ADX / DI 방향성
period=33, threshold=25
0.1%-14.5%0.040.001.0x2810%
Buy and hold9.5%-34.1%0.610.284.3x1100%
1x 2011 2013 2015 2017 2019 2021 2023 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -9% -17% -26% -34% 2011 2013 2015 2017 2019 2021 2023 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -22.9% (2020-01-20 → 2020-03-17), recovered after 119 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next