Trend-Following Backtester · Guide · backtest 한국어
etf · US
Neuberger Energy Infrastructure and Income Fund Inc. backtest
10 trend-following strategies were compared on the full daily history of Neuberger Energy Infrastructure and Income Fund Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.5%, MDD -4.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.8%, drawdown -94.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.0%, MDD -10.3%, Sharpe 0.51, 5% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.6%, MDD -31.9%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 83.9%p (CAGR 0.5%, MDD -4.7%, exposure 1%).
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=51, k=3.5 |
3.0% | -10.3% | 0.51 | 0.29 | 1.5x | 2 | 5% |
| Donchian 채널 돌파 entryN=72, exitN=76 |
6.6% | -31.9% | 0.45 | 0.21 | 2.3x | 13 | 53% |
| EMA 크로스오버 fast=58, slow=71 |
6.1% | -34.3% | 0.44 | 0.18 | 2.2x | 21 | 49% |
| SMA 크로스오버 fast=42, slow=182 |
4.4% | -38.7% | 0.34 | 0.11 | 1.8x | 19 | 48% |
| ROC 모멘텀 n=129, threshold=0.06 |
3.2% | -35.2% | 0.28 | 0.09 | 1.5x | 95 | 39% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=8, mult=4 |
0.5% | -4.7% | 0.22 | 0.10 | 1.1x | 2 | 1% |
| Supertrend period=9, mult=4 |
-0.1% | -49.3% | 0.07 | -0.00 | 1.0x | 53 | 47% |
| MACD fast=13, slow=37, signal=15 |
-1.0% | -61.9% | 0.05 | -0.02 | 0.9x | 174 | 49% |
| Parabolic SAR step=0.03, maxStep=0.36 |
-2.2% | -69.9% | 0.02 | -0.03 | 0.7x | 384 | 53% |
| ADX / DI 방향성 period=25, threshold=17 |
-0.7% | -24.6% | -0.01 | -0.03 | 0.9x | 82 | 22% |
| Buy and hold | -4.8% | -94.2% | 0.05 | -0.05 | 0.5x | 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 51-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 51-day middle average