Trend-Following Backtester · Guide · backtest 한국어
etf · US
Eaton Vance Limited Duration Income Fund backtest
10 trend-following strategies were compared on the full daily history of Eaton Vance Limited Duration Income 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 -0.0%, MDD -0.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.4%, drawdown -60.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.8%, MDD -8.1%, Sharpe 0.34, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 52.4%p (CAGR -0.0%, MDD -0.5%, 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=12, threshold=0.1 |
0.8% | -8.1% | 0.34 | 0.10 | 1.2x | 14 | 1% |
| Donchian 채널 돌파 entryN=75, exitN=60 |
0.3% | -25.3% | 0.08 | 0.01 | 1.1x | 38 | 43% |
| SMA 크로스오버 fast=16, slow=163 |
-0.1% | -32.8% | 0.03 | -0.00 | 1.0x | 42 | 50% |
| EMA 크로스오버 fast=45, slow=84 |
-0.7% | -33.9% | -0.05 | -0.02 | 0.8x | 42 | 49% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=12, mult=3.2 |
-0.0% | -1.5% | -0.07 | -0.02 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=34, threshold=26 |
-0.0% | -0.5% | -0.12 | -0.04 | 1.0x | 2 | 0% |
| Supertrend period=5, mult=3.5 |
-1.4% | -35.5% | -0.15 | -0.04 | 0.7x | 100 | 46% |
| 볼린저 밴드 돌파 n=46, k=3.4 |
-0.2% | -3.4% | -0.26 | -0.04 | 1.0x | 2 | 0% |
| MACD fast=13, slow=39, signal=18 |
-6.3% | -78.6% | -0.70 | -0.08 | 0.2x | 308 | 51% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-6.7% | -80.6% | -0.73 | -0.08 | 0.2x | 186 | 55% |
| Buy and hold | -3.4% | -60.5% | -0.12 | -0.06 | 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 12-day return is greater than 10%
- Sell — Sell when the 12-day return drops to 10% or below