Trend-Following Backtester · Guide · backtest 한국어

etf · GB

TR Property Investment Trust PLC Ordinary Shares Class GBP backtest

10 trend-following strategies were compared on the full daily history of TR Property Investment Trust PLC Ordinary Shares Class GBP. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.5%, MDD -38.4%).

Data 1970-01-01 ~ 2026-07-31daily bars 14,592 (56.6 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR 10.8%, drawdown -77.5%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.7%, MDD -40.1%, Sharpe 0.42, 59% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR 11.5%, MDD -38.4%, exposure 61%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=139, exitN=105
11.7%-40.1%0.420.29526.2x5659%
EMA 크로스오버
fast=52, slow=82
11.7%-43.1%0.410.27512.9x8862%
SMA 크로스오버
fast=16, slow=175
11.5%-38.4%0.410.30477.3x9061%
ROC 모멘텀
n=121, threshold=-0.04
10.8%-39.9%0.390.27324.7x24871%
Keltner 채널 돌파
emaPeriod=77, atrPeriod=32, mult=3.4
10.3%-37.3%0.380.28260.2x13647%
ADX / DI 방향성
period=60, threshold=13
8.9%-39.8%0.340.22124.3x17245%
볼린저 밴드 돌파
n=51, k=2.1
7.8%-49.6%0.310.1669.1x18839%
Supertrend
period=27, mult=4.6
5.4%-60.8%0.260.0920.0x29261%
Parabolic SAR
step=0.015, maxStep=0.24
2.8%-85.4%0.180.034.8x67156%
MACD
fast=14, slow=39, signal=16
1.8%-89.0%0.150.022.7x69348%
Buy and hold10.8%-77.5%0.390.14331.3x1100%
1x 10x 100x 1971 1978 1985 1992 1999 2006 2013 2020 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -39% -58% -78% 1971 1978 1985 1992 1999 2006 2013 2020 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -40.1% (1977-10-28 → 1983-01-03), recovered after 3,318 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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