Trend-Following Backtester · Guide · backtest 한국어
etf · US
Cohen & Steers Infrastructure Fund, Inc backtest
10 trend-following strategies were compared on the full daily history of Cohen & Steers Infrastructure Fund, Inc. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 1.5%, MDD -35.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.5%, drawdown -76.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.4%, MDD -47.6%, Sharpe 0.30, 77% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 29.1%p (CAGR 1.5%, MDD -35.1%, exposure 56%).
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=20, exitN=67 |
3.4% | -47.6% | 0.30 | 0.07 | 2.1x | 57 | 77% |
| Supertrend period=29, mult=4.9 |
2.6% | -45.6% | 0.25 | 0.06 | 1.8x | 81 | 63% |
| SMA 크로스오버 fast=51, slow=175 |
1.5% | -35.1% | 0.18 | 0.04 | 1.4x | 33 | 56% |
| 볼린저 밴드 돌파 n=90, k=2.7 |
0.6% | -21.9% | 0.14 | 0.03 | 1.2x | 19 | 15% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=9, mult=2.2 |
0.9% | -51.9% | 0.14 | 0.02 | 1.2x | 107 | 46% |
| EMA 크로스오버 fast=13, slow=72 |
0.8% | -48.4% | 0.13 | 0.02 | 1.2x | 103 | 61% |
| ROC 모멘텀 n=5, threshold=0.11 |
0.4% | -15.3% | 0.09 | 0.03 | 1.1x | 26 | 1% |
| ADX / DI 방향성 period=33, threshold=40 |
0.0% | -3.8% | 0.03 | 0.01 | 1.0x | 2 | 0% |
| MACD fast=17, slow=47, signal=15 |
-1.5% | -50.2% | -0.03 | -0.03 | 0.7x | 270 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-4.4% | -68.6% | -0.25 | -0.06 | 0.4x | 196 | 58% |
| Buy and hold | 1.5% | -76.7% | 0.18 | 0.02 | 1.4x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 67 days