Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Scottish Mortgage Investment Trust Plc backtest
10 trend-following strategies were compared on the full daily history of Scottish Mortgage Investment Trust Plc. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.2%, MDD -39.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -67.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.7%, MDD -63.0%, Sharpe 0.58, 91% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 4.7%p (CAGR 8.2%, MDD -39.7%, exposure 68%).
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=116, threshold=-0.15 |
10.7% | -63.0% | 0.58 | 0.17 | 318.8x | 105 | 91% |
| SMA 크로스오버 fast=7, slow=281 |
8.2% | -39.7% | 0.55 | 0.21 | 88.6x | 107 | 68% |
| EMA 크로스오버 fast=30, slow=158 |
7.5% | -48.3% | 0.50 | 0.15 | 58.6x | 85 | 67% |
| Donchian 채널 돌파 entryN=7, exitN=70 |
7.9% | -71.6% | 0.44 | 0.11 | 75.2x | 208 | 91% |
| 볼린저 밴드 돌파 n=86, k=0.7 |
4.8% | -60.5% | 0.38 | 0.08 | 14.2x | 232 | 57% |
| Supertrend period=16, mult=2.2 |
4.4% | -43.3% | 0.34 | 0.10 | 11.2x | 648 | 60% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=28, mult=1 |
3.6% | -53.2% | 0.31 | 0.07 | 7.2x | 406 | 56% |
| Parabolic SAR step=0.005, maxStep=0.22 |
2.5% | -61.5% | 0.23 | 0.04 | 4.1x | 370 | 60% |
| MACD fast=12, slow=40, signal=18 |
2.1% | -58.7% | 0.20 | 0.04 | 3.3x | 670 | 49% |
| ADX / DI 방향성 period=36, threshold=34 |
0.2% | -51.1% | 0.07 | 0.00 | 1.1x | 54 | 16% |
| Buy and hold | 10.9% | -67.6% | 0.53 | 0.16 | 343.7x | 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 116-day return is greater than -15%
- Sell — Sell when the 116-day return drops to -15% or below