Trend-Following Backtester · Guide · backtest 한국어
etf · GB
STS Global Income & Growth Trust PLC backtest
10 trend-following strategies were compared on the full daily history of STS Global Income & Growth Trust PLC. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.1%, drawdown -61.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.9%, MDD -62.1%, Sharpe 0.36, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 100% n=1, threshold=-0.15 |
5.9% | -62.1% | 0.36 | 0.10 | 26.5x | 13 | 100% |
| SMA 크로스오버 fast=58, slow=215 |
2.8% | -47.7% | 0.26 | 0.06 | 4.7x | 70 | 62% |
| EMA 크로스오버 fast=27, slow=212 |
2.2% | -43.2% | 0.22 | 0.05 | 3.5x | 98 | 65% |
| Donchian 채널 돌파 entryN=44, exitN=78 |
2.3% | -43.9% | 0.21 | 0.05 | 3.6x | 122 | 73% |
| ADX / DI 방향성 period=33, threshold=22 |
0.4% | -45.3% | 0.09 | 0.01 | 1.3x | 102 | 22% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=11, mult=4 |
0.4% | -48.3% | 0.09 | 0.01 | 1.3x | 116 | 20% |
| Supertrend period=22, mult=4.7 |
-0.3% | -55.6% | 0.05 | -0.00 | 0.9x | 238 | 62% |
| 볼린저 밴드 돌파 n=20, k=3.5 |
-0.0% | -46.8% | 0.05 | -0.00 | 1.0x | 72 | 17% |
| MACD fast=17, slow=44, signal=15 |
-1.3% | -87.5% | 0.00 | -0.01 | 0.5x | 644 | 49% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.0% | -74.0% | -0.07 | -0.03 | 0.3x | 356 | 59% |
| Buy and hold | 6.1% | -61.0% | 0.36 | 0.10 | 28.2x | 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 1-day return is greater than -15%
- Sell — Sell when the 1-day return drops to -15% or below