Trend-Following Backtester · Guide · backtest 한국어
etf · US
abrdn Bloomberg All Commodity Strategy K-1 Free ETF backtest
10 trend-following strategies were compared on the full daily history of abrdn Bloomberg All Commodity Strategy K-1 Free ETF. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.0%, MDD -8.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.5%, drawdown -40.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.1%, MDD -23.7%, Sharpe 0.37, 36% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 16.7%p (CAGR 1.0%, MDD -8.1%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=96, slow=343 |
4.1% | -23.7% | 0.37 | 0.17 | 1.4x | 3 | 36% |
| EMA 크로스오버 fast=78, slow=223 |
3.9% | -23.7% | 0.35 | 0.16 | 1.4x | 5 | 39% |
| ADX / DI 방향성 period=46, threshold=20 |
1.0% | -8.1% | 0.27 | 0.12 | 1.1x | 4 | 7% |
| ROC 모멘텀 n=135, threshold=0.07 |
0.5% | -30.7% | 0.10 | 0.02 | 1.0x | 49 | 23% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=27, mult=3.9 |
-0.1% | -8.4% | -0.00 | -0.01 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=12, exitN=79 |
-1.7% | -42.3% | -0.02 | -0.04 | 0.9x | 29 | 82% |
| MACD fast=18, slow=32, signal=19 |
-1.0% | -40.6% | -0.04 | -0.03 | 0.9x | 97 | 53% |
| Supertrend period=22, mult=4.8 |
-1.6% | -41.8% | -0.08 | -0.04 | 0.9x | 43 | 52% |
| 볼린저 밴드 돌파 n=51, k=3.3 |
-0.8% | -11.7% | -0.16 | -0.07 | 0.9x | 2 | 2% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-4.5% | -49.3% | -0.33 | -0.09 | 0.7x | 81 | 52% |
| Buy and hold | -0.5% | -40.4% | 0.06 | -0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 96-day average price crosses above the 343-day average
- Sell — Sell (to cash) when the 96-day average falls below the 343-day average