Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Scottish Oriental Smaller Companies Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Scottish Oriental Smaller Companies Trust PLC. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.8%, MDD -32.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.4%, drawdown -86.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.5%, MDD -23.8%, Sharpe 0.88, 21% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.8%, MDD -32.1%, exposure 65%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 63.0%p (CAGR 9.8%, MDD -32.1%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=19, mult=4 |
6.5% | -23.8% | 0.88 | 0.27 | 7.2x | 64 | 21% |
| 볼린저 밴드 돌파 n=25, k=3 |
4.2% | -27.2% | 0.70 | 0.15 | 3.6x | 64 | 13% |
| Donchian 채널 돌파 entryN=78, exitN=91 |
9.8% | -32.1% | 0.70 | 0.30 | 18.8x | 36 | 65% |
| SMA 크로스오버 fast=49, slow=165 |
9.0% | -33.2% | 0.65 | 0.27 | 15.0x | 45 | 62% |
| ADX / DI 방향성 period=21, threshold=32 |
3.1% | -18.8% | 0.55 | 0.16 | 2.6x | 54 | 12% |
| EMA 크로스오버 fast=78, slow=92 |
4.3% | -83.8% | 0.38 | 0.05 | 3.8x | 38 | 62% |
| ROC 모멘텀 n=34, threshold=0.14 |
1.7% | -24.2% | 0.37 | 0.07 | 1.7x | 96 | 5% |
| Supertrend period=16, mult=3.2 |
8.1% | -84.6% | 0.25 | 0.10 | 11.6x | 195 | 63% |
| Parabolic SAR step=0.03, maxStep=0.16 |
7.5% | -82.1% | 0.22 | 0.09 | 9.6x | 728 | 55% |
| MACD fast=17, slow=37, signal=17 |
3.9% | -87.9% | 0.20 | 0.04 | 3.3x | 358 | 52% |
| Buy and hold | 8.4% | -86.8% | 0.29 | 0.10 | 12.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 35-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 35-day average