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. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.1%, MDD -27.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.9%, drawdown -60.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.1%, MDD -27.3%, Sharpe 0.49, 81% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 33.5%p (CAGR 6.1%, MDD -27.3%, exposure 81%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=23, exitN=63 |
6.1% | -27.3% | 0.49 | 0.22 | 3.5x | 41 | 81% |
| SMA 크로스오버 fast=56, slow=137 |
4.6% | -30.6% | 0.44 | 0.15 | 2.6x | 46 | 61% |
| Supertrend period=32, mult=4.1 |
4.9% | -36.3% | 0.43 | 0.14 | 2.8x | 63 | 68% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=14, mult=2.9 |
2.7% | -20.7% | 0.42 | 0.13 | 1.7x | 56 | 26% |
| ADX / DI 방향성 period=24, threshold=39 |
0.5% | -4.7% | 0.34 | 0.10 | 1.1x | 10 | 2% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
1.0% | -12.9% | 0.30 | 0.08 | 1.2x | 18 | 10% |
| EMA 크로스오버 fast=32, slow=113 |
2.3% | -46.2% | 0.25 | 0.05 | 1.6x | 53 | 63% |
| Parabolic SAR step=0.005, maxStep=0.18 |
1.1% | -45.1% | 0.15 | 0.02 | 1.3x | 180 | 59% |
| ROC 모멘텀 n=108, threshold=0.06 |
0.2% | -54.0% | 0.07 | 0.00 | 1.0x | 196 | 38% |
| MACD fast=12, slow=59, signal=12 |
-0.2% | -51.2% | 0.04 | -0.00 | 1.0x | 286 | 50% |
| Buy and hold | 4.9% | -60.8% | 0.35 | 0.08 | 2.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 23 days
- Sell — Sell when price breaks below the lowest low of the last 63 days