Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Sequoia Economic Infrastructure Income Fund Limited Ptg.Shs GBP backtest
10 trend-following strategies were compared on the full daily history of Sequoia Economic Infrastructure Income Fund Limited Ptg.Shs GBP. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.2%, MDD -1.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR -1.6%, drawdown -40.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -1.1%, Sharpe 0.25, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 38.9%p (CAGR 0.2%, MDD -1.1%, 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=18, threshold=0.16 |
0.2% | -1.1% | 0.25 | 0.15 | 1.0x | 4 | 0% |
| ADX / DI 방향성 period=29, threshold=39 |
0.2% | -2.2% | 0.15 | 0.07 | 1.0x | 2 | 2% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
0.1% | -3.8% | 0.11 | 0.04 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=16, mult=3.9 |
-0.1% | -2.6% | -0.04 | -0.03 | 1.0x | 2 | 2% |
| SMA 크로스오버 fast=45, slow=195 |
-0.7% | -25.3% | -0.05 | -0.03 | 0.9x | 15 | 47% |
| EMA 크로스오버 fast=57, slow=161 |
-2.3% | -37.1% | -0.25 | -0.06 | 0.8x | 19 | 47% |
| Donchian 채널 돌파 entryN=31, exitN=64 |
-3.1% | -36.8% | -0.31 | -0.08 | 0.7x | 29 | 55% |
| Supertrend period=11, mult=3.9 |
-4.7% | -49.9% | -0.41 | -0.09 | 0.6x | 33 | 53% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-5.9% | -54.2% | -0.58 | -0.11 | 0.5x | 89 | 50% |
| MACD fast=12, slow=35, signal=16 |
-10.9% | -75.5% | -1.10 | -0.14 | 0.3x | 179 | 46% |
| Buy and hold | -1.6% | -40.0% | -0.01 | -0.04 | 0.8x | 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 18-day return is greater than 16%
- Sell — Sell when the 18-day return drops to 16% or below