Trend-Following Backtester · Guide · backtest 한국어
etf · US
Saba Opportunistically Hedged Closed-End Funds ETF backtest
10 trend-following strategies were compared on the full daily history of Saba Opportunistically Hedged Closed-End Funds ETF. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.2%, MDD -19.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.2%, drawdown -41.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.5%, MDD -1.3%, Sharpe 0.57, 2% exposure.
CAGR reference leader: Supertrend — CAGR 4.3%, MDD -25.1%, exposure 67%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 40.3%p (CAGR 2.2%, MDD -19.5%, exposure 75%).
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=11, atrPeriod=32, mult=3.5 |
0.5% | -1.3% | 0.57 | 0.40 | 1.1x | 2 | 2% |
| Supertrend period=25, mult=3.3 |
4.3% | -25.1% | 0.48 | 0.17 | 1.5x | 44 | 67% |
| ROC 모멘텀 Hold-like · Exposure 99% n=4, threshold=-0.08 |
4.2% | -25.0% | 0.39 | 0.17 | 1.5x | 7 | 99% |
| 볼린저 밴드 돌파 n=12, k=3 |
0.3% | -1.9% | 0.35 | 0.18 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=25, exitN=74 |
2.2% | -19.5% | 0.28 | 0.12 | 1.2x | 20 | 75% |
| ADX / DI 방향성 period=25, threshold=38 |
0.1% | -1.3% | 0.18 | 0.10 | 1.0x | 2 | 2% |
| SMA 크로스오버 fast=9, slow=193 |
1.1% | -16.3% | 0.17 | 0.07 | 1.1x | 21 | 57% |
| EMA 크로스오버 fast=18, slow=159 |
0.8% | -17.4% | 0.14 | 0.04 | 1.1x | 23 | 59% |
| Parabolic SAR step=0.015, maxStep=0.06 |
-2.0% | -34.4% | -0.18 | -0.06 | 0.8x | 132 | 56% |
| MACD fast=12, slow=50, signal=13 |
-3.6% | -34.0% | -0.40 | -0.11 | 0.7x | 148 | 49% |
| Buy and hold | 2.2% | -41.6% | 0.22 | 0.05 | 1.2x | 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 11-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average