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 8.5%, MDD -39.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.1%, drawdown -67.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.9%, MDD -63.0%, Sharpe 0.59, 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 8.5%, 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 |
10.9% | -63.0% | 0.59 | 0.17 | 357.6x | 105 | 91% |
| SMA 크로스오버 fast=7, slow=281 |
8.5% | -39.7% | 0.56 | 0.21 | 99.3x | 107 | 68% |
| EMA 크로스오버 fast=30, slow=158 |
7.7% | -48.3% | 0.51 | 0.16 | 65.7x | 85 | 67% |
| Donchian 채널 돌파 entryN=7, exitN=70 |
8.1% | -71.6% | 0.45 | 0.11 | 83.0x | 209 | 91% |
| 볼린저 밴드 돌파 n=86, k=0.7 |
4.8% | -60.5% | 0.39 | 0.08 | 14.3x | 233 | 57% |
| Supertrend period=16, mult=2.2 |
4.5% | -43.3% | 0.35 | 0.10 | 11.9x | 649 | 60% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=28, mult=1 |
3.6% | -53.2% | 0.31 | 0.07 | 7.4x | 407 | 56% |
| Parabolic SAR step=0.005, maxStep=0.22 |
2.6% | -61.5% | 0.23 | 0.04 | 4.2x | 371 | 60% |
| MACD fast=12, slow=40, signal=18 |
2.2% | -58.7% | 0.20 | 0.04 | 3.5x | 671 | 49% |
| ADX / DI 방향성 period=36, threshold=34 |
0.2% | -51.1% | 0.07 | 0.00 | 1.1x | 54 | 16% |
| Buy and hold | 11.1% | -67.6% | 0.54 | 0.16 | 385.5x | 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