Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Schroder AsiaPacific Fund Plc backtest
10 trend-following strategies were compared on the full daily history of Schroder AsiaPacific Fund Plc. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.3%, MDD -30.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.9%, drawdown -77.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.8%, MDD -31.2%, Sharpe 0.78, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 46.2%p (CAGR 10.3%, MDD -30.0%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=13, slow=193 |
10.8% | -31.2% | 0.78 | 0.35 | 23.4x | 45 | 59% |
| EMA 크로스오버 fast=31, slow=108 |
10.3% | -30.0% | 0.74 | 0.34 | 20.4x | 47 | 59% |
| Donchian 채널 돌파 entryN=98, exitN=36 |
7.4% | -36.8% | 0.67 | 0.20 | 8.9x | 62 | 40% |
| 볼린저 밴드 돌파 n=39, k=2 |
6.9% | -32.8% | 0.65 | 0.21 | 7.7x | 142 | 35% |
| Supertrend period=8, mult=3.8 |
8.3% | -42.7% | 0.62 | 0.19 | 11.4x | 160 | 56% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=10, mult=2.3 |
6.6% | -25.7% | 0.60 | 0.26 | 7.1x | 136 | 40% |
| ROC 모멘텀 n=192, threshold=0 |
6.7% | -35.3% | 0.51 | 0.19 | 7.3x | 145 | 60% |
| ADX / DI 방향성 period=19, threshold=21 |
3.5% | -28.1% | 0.38 | 0.12 | 2.9x | 220 | 31% |
| Parabolic SAR step=0.015, maxStep=0.14 |
3.7% | -50.2% | 0.31 | 0.07 | 3.0x | 510 | 55% |
| MACD fast=17, slow=33, signal=19 |
3.0% | -51.4% | 0.27 | 0.06 | 2.5x | 366 | 52% |
| Buy and hold | 6.9% | -77.4% | 0.40 | 0.09 | 7.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 13-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 13-day average falls below the 193-day average