Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Utilico Emerging Markets Trust PLC GBP backtest
10 trend-following strategies were compared on the full daily history of Utilico Emerging Markets Trust PLC GBP. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.9%, MDD -24.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.8%, drawdown -60.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.6%, MDD -1.5%, Sharpe 0.67, 1% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.8%, MDD -27.5%, exposure 93%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.1%p lower than buy and hold, while drawdown improves by 59.3%p (CAGR 4.9%, MDD -24.1%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=3.5 |
0.6% | -1.5% | 0.67 | 0.43 | 1.1x | 4 | 1% |
| ROC 모멘텀 n=43, threshold=-0.08 |
7.8% | -27.5% | 0.57 | 0.28 | 4.9x | 57 | 93% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=10, mult=3.5 |
0.7% | -3.5% | 0.52 | 0.20 | 1.2x | 8 | 3% |
| Donchian 채널 돌파 entryN=23, exitN=62 |
6.0% | -27.3% | 0.48 | 0.22 | 3.4x | 41 | 82% |
| Supertrend period=33, mult=4 |
5.4% | -35.1% | 0.46 | 0.15 | 3.0x | 63 | 68% |
| SMA 크로스오버 fast=70, slow=114 |
4.9% | -24.1% | 0.46 | 0.20 | 2.8x | 50 | 60% |
| ADX / DI 방향성 period=25, threshold=38 |
0.5% | -4.7% | 0.36 | 0.10 | 1.1x | 8 | 2% |
| EMA 크로스오버 fast=33, slow=74 |
2.0% | -46.4% | 0.22 | 0.04 | 1.5x | 66 | 61% |
| Parabolic SAR step=0.005, maxStep=0.22 |
1.1% | -45.1% | 0.15 | 0.02 | 1.3x | 181 | 59% |
| MACD fast=10, slow=31, signal=24 |
-0.3% | -50.5% | 0.03 | -0.01 | 0.9x | 271 | 50% |
| Buy and hold | 4.8% | -60.8% | 0.34 | 0.08 | 2.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 14-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 14-day middle average