Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Scottish American Investment Company P.L.C. backtest
10 trend-following strategies were compared on the full daily history of Scottish American Investment Company P.L.C.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.2%, MDD -60.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -79.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.2%, MDD -60.7%, Sharpe 0.40, 94% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 18.9%p (CAGR 6.2%, MDD -60.7%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=95, threshold=-0.15 |
6.2% | -60.7% | 0.40 | 0.10 | 29.3x | 91 | 94% |
| EMA 크로스오버 fast=37, slow=138 |
2.9% | -46.3% | 0.26 | 0.06 | 4.9x | 109 | 67% |
| Donchian 채널 돌파 entryN=9, exitN=48 |
3.3% | -80.4% | 0.24 | 0.04 | 6.1x | 279 | 86% |
| SMA 크로스오버 fast=25, slow=176 |
2.4% | -49.3% | 0.24 | 0.05 | 3.9x | 121 | 65% |
| ADX / DI 방향성 period=39, threshold=38 |
0.9% | -43.5% | 0.14 | 0.02 | 1.7x | 52 | 16% |
| Supertrend period=26, mult=3.6 |
0.5% | -69.5% | 0.11 | 0.01 | 1.3x | 355 | 62% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=28, mult=4 |
0.2% | -41.9% | 0.08 | 0.01 | 1.1x | 156 | 30% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-0.0% | -66.4% | 0.07 | -0.00 | 1.0x | 361 | 58% |
| 볼린저 밴드 돌파 n=12, k=2.7 |
0.1% | -66.6% | 0.07 | 0.00 | 1.0x | 137 | 20% |
| MACD fast=13, slow=36, signal=19 |
-1.4% | -83.1% | 0.00 | -0.02 | 0.4x | 705 | 50% |
| Buy and hold | 6.5% | -79.6% | 0.37 | 0.08 | 34.6x | 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 95-day return is greater than -15%
- Sell — Sell when the 95-day return drops to -15% or below