Trend-Following Backtester · Guide · backtest 한국어
etf · GB
AVI Global Trust PLC GBP backtest
10 trend-following strategies were compared on the full daily history of AVI Global Trust PLC GBP. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.6%, drawdown -84.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.9%, MDD -34.9%, Sharpe 0.54, 41% exposure.
CAGR reference leader: MACD — CAGR 7.5%, MDD -30.0%, exposure 49%.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=22, mult=3.2 |
5.9% | -34.9% | 0.54 | 0.17 | 15.8x | 178 | 41% |
| 볼린저 밴드 돌파 n=57, k=1.6 |
4.4% | -35.2% | 0.45 | 0.13 | 8.2x | 212 | 49% |
| ADX / DI 방향성 period=32, threshold=26 |
3.9% | -28.0% | 0.40 | 0.14 | 6.4x | 96 | 27% |
| ROC 모멘텀 n=122, threshold=-0.11 |
4.8% | -86.6% | 0.37 | 0.06 | 9.7x | 101 | 90% |
| EMA 크로스오버 fast=24, slow=110 |
4.2% | -82.1% | 0.36 | 0.05 | 7.3x | 102 | 69% |
| Donchian 채널 돌파 entryN=50, exitN=37 |
3.5% | -87.8% | 0.34 | 0.04 | 5.4x | 166 | 58% |
| SMA 크로스오버 fast=10, slow=87 |
2.8% | -86.5% | 0.30 | 0.03 | 3.8x | 184 | 65% |
| Parabolic SAR step=0.005, maxStep=0.22 |
2.2% | -89.2% | 0.26 | 0.02 | 2.9x | 324 | 59% |
| Supertrend period=24, mult=4.2 |
2.1% | -86.6% | 0.26 | 0.02 | 2.8x | 289 | 59% |
| MACD fast=27, slow=50, signal=22 |
7.5% | -30.0% | 0.21 | 0.25 | 33.5x | 370 | 49% |
| Buy and hold | 10.6% | -84.6% | 0.28 | 0.13 | 131.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 43-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 43-day average