Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Sherborne Investors (Guernsey) C Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sherborne Investors (Guernsey) C Ltd.. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.2%, MDD -10.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -12.3%, drawdown -99.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.2%, MDD -10.3%, Sharpe 0.77, 19% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 55.2%, MDD -99.5%, exposure 44%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 20.5%p higher than buy and hold, while drawdown improves by 89.4%p (CAGR 8.2%, MDD -10.3%, exposure 19%).
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=150, threshold=0.11 |
8.2% | -10.3% | 0.77 | 0.79 | 2.1x | 24 | 19% |
| SMA 크로스오버 fast=26, slow=42 |
55.2% | -99.5% | 0.65 | 0.56 | 57.6x | 52 | 44% |
| ADX / DI 방향성 period=32, threshold=19 |
3.7% | -10.3% | 0.54 | 0.36 | 1.4x | 12 | 6% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=25, mult=2.9 |
5.6% | -12.9% | 0.52 | 0.44 | 1.7x | 20 | 22% |
| 볼린저 밴드 돌파 n=45, k=1 |
6.0% | -20.0% | 0.51 | 0.30 | 1.7x | 44 | 34% |
| Donchian 채널 돌파 entryN=97, exitN=23 |
3.4% | -16.9% | 0.35 | 0.20 | 1.4x | 16 | 23% |
| EMA 크로스오버 fast=29, slow=215 |
2.8% | -17.9% | 0.30 | 0.16 | 1.3x | 10 | 27% |
| Parabolic SAR step=0.01, maxStep=0.06 |
-77.2% | -100.0% | -0.49 | -0.77 | 0.0x | 71 | 49% |
| Supertrend period=22, mult=5 |
-91.6% | -100.0% | -0.67 | -0.92 | 0.0x | 41 | 53% |
| MACD fast=12, slow=44, signal=11 |
-95.1% | -100.0% | -0.79 | -0.95 | 0.0x | 109 | 47% |
| Buy and hold | -12.3% | -99.7% | 0.86 | -0.12 | 0.3x | 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 150-day return is greater than 11%
- Sell — Sell when the 150-day return drops to 11% or below