Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Aberdeen Asian Income Fund Limited backtest
10 trend-following strategies were compared on the full daily history of Aberdeen Asian Income Fund Limited. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.6%, MDD -24.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.4%, drawdown -43.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.6%, MDD -24.9%, Sharpe 0.47, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 18.7%p (CAGR 5.6%, MDD -24.9%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=45, slow=136 |
5.6% | -24.9% | 0.47 | 0.22 | 3.1x | 39 | 58% |
| EMA 크로스오버 fast=43, slow=129 |
4.8% | -29.9% | 0.42 | 0.16 | 2.6x | 29 | 60% |
| Donchian 채널 돌파 entryN=57, exitN=68 |
4.1% | -33.5% | 0.37 | 0.12 | 2.3x | 31 | 57% |
| 볼린저 밴드 돌파 n=40, k=3.3 |
0.9% | -9.8% | 0.24 | 0.09 | 1.2x | 22 | 9% |
| Supertrend period=26, mult=4.9 |
1.6% | -44.8% | 0.19 | 0.04 | 1.4x | 49 | 63% |
| ROC 모멘텀 n=112, threshold=0.06 |
-0.5% | -51.1% | 0.01 | -0.01 | 0.9x | 192 | 37% |
| ADX / DI 방향성 period=20, threshold=29 |
-0.1% | -19.6% | -0.00 | -0.00 | 1.0x | 38 | 7% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-1.1% | -49.5% | -0.01 | -0.02 | 0.8x | 176 | 58% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=11, mult=1.7 |
-0.7% | -40.7% | -0.02 | -0.02 | 0.9x | 102 | 38% |
| MACD fast=13, slow=24, signal=16 |
-4.2% | -69.2% | -0.27 | -0.06 | 0.4x | 318 | 50% |
| Buy and hold | 5.4% | -43.6% | 0.37 | 0.12 | 3.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 45-day average price crosses above the 136-day average
- Sell — Sell (to cash) when the 45-day average falls below the 136-day average