Trend-Following Backtester · Guide · backtest 한국어
etf · US
Western Asset Inflation-Linked Opportunities & Income Fund backtest
10 trend-following strategies were compared on the full daily history of Western Asset Inflation-Linked Opportunities & Income Fund. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.0%, MDD -1.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.6%, drawdown -47.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.2%, MDD -4.3%, Sharpe 0.13, 3% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 43.6%p (CAGR -0.0%, MDD -1.9%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=8, mult=3.4 |
0.2% | -4.3% | 0.13 | 0.04 | 1.0x | 10 | 3% |
| ADX / DI 방향성 period=43, threshold=30 |
0.0% | -3.2% | 0.07 | 0.01 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=80, exitN=25 |
-0.1% | -14.1% | 0.01 | -0.00 | 1.0x | 48 | 28% |
| ROC 모멘텀 n=17, threshold=0.12 |
-0.0% | -1.9% | -0.02 | -0.01 | 1.0x | 8 | 0% |
| SMA 크로스오버 fast=32, slow=187 |
-0.6% | -28.6% | -0.07 | -0.02 | 0.9x | 34 | 49% |
| EMA 크로스오버 fast=42, slow=207 |
-0.7% | -25.9% | -0.09 | -0.03 | 0.9x | 26 | 49% |
| Supertrend period=30, mult=4.8 |
-1.1% | -36.5% | -0.15 | -0.03 | 0.8x | 58 | 51% |
| 볼린저 밴드 돌파 n=45, k=3.2 |
-0.5% | -12.5% | -0.28 | -0.04 | 0.9x | 16 | 5% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.8% | -67.6% | -0.71 | -0.07 | 0.3x | 188 | 51% |
| MACD fast=19, slow=53, signal=11 |
-8.6% | -86.8% | -1.34 | -0.10 | 0.1x | 331 | 51% |
| Buy and hold | -2.6% | -47.9% | -0.21 | -0.05 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 20-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 20-day average