Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Syncona Ltd GBP backtest
10 trend-following strategies were compared on the full daily history of Syncona Ltd GBP. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.0%, MDD -32.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.7%, drawdown -73.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.0%, MDD -32.7%, Sharpe 0.33, 44% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 4.0%, MDD -32.7%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=73, slow=209 |
4.0% | -32.7% | 0.33 | 0.12 | 1.7x | 15 | 44% |
| EMA 크로스오버 fast=50, slow=281 |
3.3% | -37.5% | 0.30 | 0.09 | 1.6x | 11 | 43% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=28, mult=4 |
1.4% | -36.3% | 0.21 | 0.04 | 1.2x | 15 | 14% |
| 볼린저 밴드 돌파 n=50, k=3 |
0.5% | -23.3% | 0.11 | 0.02 | 1.1x | 15 | 12% |
| Donchian 채널 돌파 entryN=80, exitN=24 |
0.2% | -41.9% | 0.07 | 0.01 | 1.0x | 31 | 24% |
| ROC 모멘텀 n=141, threshold=0.09 |
-0.8% | -44.7% | -0.01 | -0.02 | 0.9x | 95 | 25% |
| ADX / DI 방향성 period=26, threshold=29 |
-1.2% | -24.9% | -0.16 | -0.05 | 0.8x | 30 | 11% |
| Supertrend period=22, mult=5 |
-3.8% | -74.6% | -0.18 | -0.05 | 0.6x | 37 | 42% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-9.8% | -88.4% | -0.50 | -0.11 | 0.2x | 227 | 51% |
| MACD fast=14, slow=23, signal=18 |
-10.8% | -85.3% | -0.55 | -0.13 | 0.2x | 213 | 48% |
| Buy and hold | 0.7% | -73.7% | 0.16 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 73-day average price crosses above the 209-day average
- Sell — Sell (to cash) when the 73-day average falls below the 209-day average