Trend-Following Backtester · Guide · backtest 한국어
etf · US
abrdn Life Sciences Investors Shares of Beneficial Interest backtest
10 trend-following strategies were compared on the full daily history of abrdn Life Sciences Investors Shares of Beneficial Interest. 8 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 1.8%, MDD -16.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.7%, drawdown -84.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.7%, MDD -17.1%, Sharpe 0.40, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.0%, MDD -56.9%, exposure 48%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 67.0%p (CAGR 1.8%, MDD -16.6%, exposure 2%).
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=18, k=3 |
2.7% | -17.1% | 0.40 | 0.16 | 2.5x | 26 | 3% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=9, mult=3.1 |
1.8% | -16.6% | 0.31 | 0.11 | 1.9x | 14 | 2% |
| SMA 크로스오버 fast=24, slow=213 |
4.0% | -56.9% | 0.30 | 0.07 | 3.8x | 55 | 48% |
| Donchian 채널 돌파 entryN=157, exitN=80 |
3.0% | -51.7% | 0.26 | 0.06 | 2.7x | 37 | 37% |
| EMA 크로스오버 fast=57, slow=79 |
2.8% | -58.8% | 0.24 | 0.05 | 2.5x | 63 | 51% |
| ROC 모멘텀 n=16, threshold=0.13 |
1.4% | -32.1% | 0.21 | 0.04 | 1.6x | 110 | 3% |
| MACD fast=22, slow=47, signal=18 |
1.9% | -67.4% | 0.20 | 0.03 | 1.9x | 322 | 50% |
| Supertrend period=26, mult=3.3 |
1.0% | -70.9% | 0.14 | 0.01 | 1.4x | 228 | 55% |
| ADX / DI 방향성 period=23, threshold=28 |
0.5% | -44.6% | 0.10 | 0.01 | 1.2x | 50 | 7% |
| Parabolic SAR step=0.025, maxStep=0.32 |
-3.3% | -90.1% | -0.10 | -0.04 | 0.3x | 782 | 52% |
| Buy and hold | 0.7% | -84.1% | 0.16 | 0.01 | 1.3x | 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 18-day average (3× volatility)
- Sell — Sell when the close falls back to the 18-day middle average