Trend-Following Backtester · Guide · backtest 한국어
etf · US
abrdn Healthcare Investors Shares of Beneficial Interest backtest
10 trend-following strategies were compared on the full daily history of abrdn Healthcare Investors Shares of Beneficial Interest. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.2%, MDD -45.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.1%, drawdown -78.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.2%, MDD -45.9%, Sharpe 0.32, 39% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 33.0%p (CAGR 4.2%, MDD -45.9%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=119, exitN=71 |
4.2% | -45.9% | 0.32 | 0.09 | 5.1x | 47 | 39% |
| SMA 크로스오버 fast=11, slow=248 |
4.2% | -54.8% | 0.31 | 0.08 | 5.0x | 75 | 49% |
| EMA 크로스오버 fast=52, slow=134 |
3.3% | -66.1% | 0.27 | 0.05 | 3.6x | 61 | 49% |
| 볼린저 밴드 돌파 n=22, k=3 |
1.5% | -23.3% | 0.24 | 0.07 | 1.8x | 42 | 4% |
| ADX / DI 방향성 period=15, threshold=42 |
1.1% | -23.1% | 0.19 | 0.05 | 1.6x | 52 | 5% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=14, mult=3.5 |
1.3% | -28.1% | 0.18 | 0.04 | 1.6x | 68 | 8% |
| MACD fast=24, slow=45, signal=24 |
1.5% | -76.6% | 0.17 | 0.02 | 1.8x | 327 | 51% |
| Supertrend period=16, mult=2.8 |
-0.5% | -65.7% | 0.07 | -0.01 | 0.8x | 326 | 56% |
| ROC 모멘텀 n=137, threshold=0 |
-0.6% | -75.1% | 0.07 | -0.01 | 0.8x | 349 | 51% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-4.5% | -93.8% | -0.14 | -0.05 | 0.2x | 517 | 53% |
| Buy and hold | 2.1% | -78.9% | 0.21 | 0.03 | 2.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 119 days
- Sell — Sell when price breaks below the lowest low of the last 71 days