Trend-Following Backtester · Guide · backtest 한국어
etf · GB
TwentyFour Income Fund Ltd GBP backtest
10 trend-following strategies were compared on the full daily history of TwentyFour Income Fund Ltd GBP. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 0.5%, MDD -19.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.4%, drawdown -37.7%).
Sharpe leader (same as main): Supertrend — CAGR 0.9%, MDD -22.7%, Sharpe 0.16, 56% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 15.0%p (CAGR 0.5%, MDD -19.5%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=5 |
0.9% | -22.7% | 0.16 | 0.04 | 1.1x | 20 | 56% |
| Donchian 채널 돌파 entryN=45, exitN=78 |
0.8% | -24.2% | 0.13 | 0.03 | 1.1x | 24 | 68% |
| EMA 크로스오버 fast=54, slow=114 |
0.5% | -19.5% | 0.11 | 0.03 | 1.1x | 20 | 59% |
| ADX / DI 방향성 period=42, threshold=23 |
0.2% | -8.5% | 0.09 | 0.02 | 1.0x | 8 | 7% |
| ROC 모멘텀 n=98, threshold=0.13 |
0.0% | -3.2% | 0.02 | 0.01 | 1.0x | 6 | 1% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
-0.0% | -3.4% | -0.01 | -0.01 | 1.0x | 6 | 2% |
| SMA 크로스오버 fast=10, slow=196 |
-0.6% | -20.9% | -0.04 | -0.03 | 0.9x | 38 | 55% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=17, mult=2.5 |
-0.2% | -7.4% | -0.06 | -0.02 | 1.0x | 12 | 4% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-1.6% | -33.8% | -0.17 | -0.05 | 0.8x | 91 | 56% |
| MACD fast=30, slow=55, signal=50 |
-4.0% | -46.3% | -0.52 | -0.09 | 0.6x | 84 | 48% |
| Buy and hold | 0.4% | -37.7% | 0.10 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)