Trend-Following Backtester · Guide · backtest 한국어
etf · US
abrdn Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF backtest
10 trend-following strategies were compared on the full daily history of abrdn Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 3.8%, MDD -15.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.6%, drawdown -32.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.3%, MDD -5.7%, Sharpe 0.76, 14% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.3%, MDD -28.0%, exposure 54%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 26.3%p (CAGR 3.8%, MDD -15.6%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=50, threshold=23 |
3.3% | -5.7% | 0.76 | 0.58 | 1.4x | 4 | 14% |
| ROC 모멘텀 n=141, threshold=0.12 |
3.8% | -15.6% | 0.52 | 0.24 | 1.4x | 22 | 19% |
| SMA 크로스오버 fast=42, slow=176 |
4.3% | -28.0% | 0.41 | 0.15 | 1.5x | 17 | 54% |
| EMA 크로스오버 fast=51, slow=176 |
3.3% | -30.6% | 0.33 | 0.11 | 1.4x | 13 | 51% |
| 볼린저 밴드 돌파 n=74, k=2.5 |
2.2% | -14.3% | 0.32 | 0.15 | 1.2x | 16 | 25% |
| Donchian 채널 돌파 entryN=8, exitN=73 |
2.5% | -35.7% | 0.25 | 0.07 | 1.3x | 39 | 88% |
| MACD fast=24, slow=43, signal=43 |
1.9% | -32.3% | 0.23 | 0.06 | 1.2x | 59 | 53% |
| Supertrend period=19, mult=5 |
1.8% | -34.3% | 0.22 | 0.05 | 1.2x | 49 | 60% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=16, mult=1.9 |
1.3% | -27.0% | 0.17 | 0.05 | 1.1x | 53 | 48% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-0.8% | -43.1% | -0.02 | -0.02 | 0.9x | 78 | 55% |
| Buy and hold | 4.6% | -32.0% | 0.38 | 0.14 | 1.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 50-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)