Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Gryphon Capital Income Trust backtest
10 trend-following strategies were compared on the full daily history of Gryphon Capital Income Trust. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.6%, MDD -1.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 0.3%, drawdown -38.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.6%, MDD -1.1%, Sharpe 0.46, 0% exposure.
CAGR reference leader: Supertrend — CAGR 1.0%, MDD -13.7%, exposure 77%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 37.0%p (CAGR 0.6%, MDD -1.1%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=76, threshold=0.17 |
0.6% | -1.1% | 0.46 | 0.57 | 1.1x | 2 | 0% |
| Supertrend period=23, mult=4.5 |
1.0% | -13.7% | 0.15 | 0.07 | 1.1x | 11 | 77% |
| EMA 크로스오버 fast=65, slow=143 |
0.2% | -8.5% | 0.07 | 0.03 | 1.0x | 11 | 65% |
| SMA 크로스오버 fast=54, slow=150 |
-0.1% | -11.8% | 0.03 | -0.01 | 1.0x | 15 | 62% |
| Donchian 채널 돌파 entryN=100, exitN=64 |
-0.6% | -9.8% | -0.06 | -0.06 | 1.0x | 11 | 45% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=14, mult=4 |
-0.3% | -5.5% | -0.09 | -0.06 | 1.0x | 2 | 4% |
| ADX / DI 방향성 period=28, threshold=23 |
-0.3% | -4.8% | -0.10 | -0.07 | 1.0x | 10 | 6% |
| 볼린저 밴드 돌파 n=24, k=3.4 |
-0.9% | -15.8% | -0.20 | -0.05 | 0.9x | 8 | 2% |
| MACD fast=36, slow=65, signal=43 |
-2.8% | -29.6% | -0.29 | -0.09 | 0.8x | 51 | 51% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-4.3% | -40.6% | -0.37 | -0.11 | 0.7x | 80 | 59% |
| Buy and hold | 0.3% | -38.1% | 0.10 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 76-day return is greater than 17%
- Sell — Sell when the 76-day return drops to 17% or below