Trend-Following Backtester · Guide · backtest 한국어
etf · US
Allspring Income Opportunities Fund backtest
10 trend-following strategies were compared on the full daily history of Allspring Income Opportunities Fund. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -2.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.8%, drawdown -75.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.2%, MDD -7.9%, Sharpe 0.36, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 67.7%p (CAGR 0.1%, MDD -2.3%, 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=94, threshold=0.2 |
1.2% | -7.9% | 0.36 | 0.15 | 1.3x | 20 | 2% |
| ADX / DI 방향성 period=39, threshold=24 |
0.1% | -2.3% | 0.09 | 0.03 | 1.0x | 4 | 0% |
| SMA 크로스오버 fast=17, slow=79 |
0.2% | -32.6% | 0.07 | 0.01 | 1.0x | 86 | 51% |
| EMA 크로스오버 fast=39, slow=97 |
0.1% | -27.9% | 0.05 | 0.00 | 1.0x | 44 | 48% |
| Donchian 채널 돌파 entryN=77, exitN=64 |
-0.1% | -35.9% | 0.04 | -0.00 | 1.0x | 38 | 45% |
| Supertrend period=8, mult=3.6 |
-0.6% | -49.0% | -0.03 | -0.01 | 0.9x | 112 | 46% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=8, mult=1.6 |
-1.1% | -30.0% | -0.11 | -0.04 | 0.8x | 130 | 37% |
| 볼린저 밴드 돌파 n=24, k=2.1 |
-1.2% | -42.8% | -0.14 | -0.03 | 0.8x | 134 | 22% |
| MACD fast=17, slow=35, signal=21 |
-4.2% | -65.4% | -0.34 | -0.06 | 0.4x | 252 | 48% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-4.9% | -70.3% | -0.42 | -0.07 | 0.3x | 386 | 53% |
| Buy and hold | -3.8% | -75.6% | -0.10 | -0.05 | 0.4x | 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 94-day return is greater than 20%
- Sell — Sell when the 94-day return drops to 20% or below