Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Polar Capital Technology Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Polar Capital Technology Trust PLC. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.7%, MDD -46.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.0%, drawdown -90.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.5%, MDD -58.0%, Sharpe 0.76, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 32.9%p (CAGR 12.7%, MDD -46.2%, exposure 66%).
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=98, exitN=70 |
13.5% | -58.0% | 0.76 | 0.23 | 42.2x | 37 | 62% |
| SMA 크로스오버 fast=7, slow=91 |
12.7% | -46.2% | 0.71 | 0.28 | 34.7x | 134 | 66% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=17, mult=2.8 |
8.4% | -37.5% | 0.60 | 0.22 | 11.0x | 128 | 42% |
| 볼린저 밴드 돌파 n=51, k=3.2 |
5.2% | -25.3% | 0.59 | 0.21 | 4.5x | 28 | 13% |
| ROC 모멘텀 n=54, threshold=0 |
8.3% | -56.6% | 0.51 | 0.15 | 10.6x | 338 | 64% |
| EMA 크로스오버 fast=8, slow=72 |
5.4% | -93.1% | 0.47 | 0.06 | 4.8x | 140 | 65% |
| ADX / DI 방향성 period=37, threshold=31 |
3.4% | -20.7% | 0.44 | 0.16 | 2.7x | 14 | 7% |
| Supertrend period=21, mult=1.8 |
7.2% | -92.9% | 0.21 | 0.08 | 7.8x | 516 | 59% |
| MACD fast=13, slow=96, signal=23 |
6.3% | -92.0% | 0.21 | 0.07 | 6.1x | 294 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
3.9% | -94.8% | 0.19 | 0.04 | 3.1x | 454 | 57% |
| Buy and hold | 15.0% | -90.9% | 0.30 | 0.17 | 63.3x | 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 98 days
- Sell — Sell when price breaks below the lowest low of the last 70 days