Trend-Following Backtester · Guide · backtest 한국어
etf · US
DoubleLine Yield Opportunities Fund backtest
10 trend-following strategies were compared on the full daily history of DoubleLine Yield Opportunities Fund. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.0%, MDD -0.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -5.7%, drawdown -36.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.6%, MDD -10.1%, Sharpe 0.38, 40% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 26.2%p (CAGR -0.0%, MDD -0.8%, exposure 0%).
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=43, slow=186 |
2.6% | -10.1% | 0.38 | 0.26 | 1.2x | 6 | 40% |
| ADX / DI 방향성 period=25, threshold=34 |
0.4% | -3.4% | 0.19 | 0.11 | 1.0x | 2 | 3% |
| EMA 크로스오버 fast=53, slow=115 |
-0.3% | -15.0% | -0.00 | -0.02 | 1.0x | 8 | 39% |
| Donchian 채널 돌파 entryN=111, exitN=53 |
-0.2% | -10.6% | -0.01 | -0.02 | 1.0x | 6 | 22% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=12, mult=3.6 |
-0.1% | -3.1% | -0.05 | -0.03 | 1.0x | 2 | 3% |
| ROC 모멘텀 n=90, threshold=0.14 |
-0.0% | -0.8% | -0.10 | -0.06 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=55, k=2.8 |
-0.3% | -3.1% | -0.16 | -0.09 | 1.0x | 2 | 3% |
| Supertrend period=16, mult=4.3 |
-2.9% | -27.2% | -0.23 | -0.11 | 0.8x | 21 | 57% |
| MACD fast=10, slow=42, signal=18 |
-9.7% | -53.2% | -1.09 | -0.18 | 0.5x | 92 | 48% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-10.6% | -51.8% | -1.11 | -0.20 | 0.5x | 54 | 57% |
| Buy and hold | -5.7% | -36.3% | -0.32 | -0.16 | 0.7x | 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 43-day average price crosses above the 186-day average
- Sell — Sell (to cash) when the 43-day average falls below the 186-day average