Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Greencoat UK Wind Plc backtest
10 trend-following strategies were compared on the full daily history of Greencoat UK Wind Plc. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.8%, drawdown -44.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.5%, MDD -0.5%, Sharpe 0.38, 0% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=11, threshold=0.14 |
0.5% | -0.5% | 0.38 | 1.04 | 1.1x | 2 | 0% |
| SMA 크로스오버 fast=57, slow=114 |
-0.4% | -38.7% | 0.02 | -0.01 | 1.0x | 33 | 58% |
| Donchian 채널 돌파 entryN=108, exitN=46 |
-0.4% | -28.2% | -0.00 | -0.01 | 0.9x | 19 | 35% |
| EMA 크로스오버 fast=55, slow=187 |
-1.3% | -31.6% | -0.08 | -0.04 | 0.8x | 23 | 55% |
| ADX / DI 방향성 period=28, threshold=32 |
-0.3% | -5.2% | -0.24 | -0.06 | 1.0x | 10 | 1% |
| Supertrend period=29, mult=4.9 |
-3.5% | -46.2% | -0.26 | -0.08 | 0.6x | 43 | 57% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.4% | -52.4% | -0.34 | -0.08 | 0.5x | 115 | 56% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=4 |
-0.4% | -5.3% | -0.37 | -0.07 | 0.9x | 2 | 0% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
-1.8% | -22.0% | -0.41 | -0.08 | 0.8x | 11 | 6% |
| MACD fast=16, slow=49, signal=21 |
-6.4% | -61.3% | -0.53 | -0.10 | 0.4x | 152 | 51% |
| Buy and hold | 0.8% | -44.9% | 0.13 | 0.02 | 1.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 11-day return is greater than 14%
- Sell — Sell when the 11-day return drops to 14% or below