Trend-Following Backtester · Guide · backtest 한국어

etf · US

Neuberger Energy Infrastructure and Income Fund Inc. backtest

10 trend-following strategies were compared on the full daily history of Neuberger Energy Infrastructure and Income Fund Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.5%, MDD -4.7%).

Data 2013-03-26 ~ 2026-07-31daily bars 3,358 (13.3 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -4.8%, drawdown -94.2%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.0%, MDD -10.3%, Sharpe 0.51, 5% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 6.6%, MDD -31.9%, exposure 53%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 83.9%p (CAGR 0.5%, MDD -4.7%, exposure 1%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=51, k=3.5
3.0%-10.3%0.510.291.5x25%
Donchian 채널 돌파
entryN=72, exitN=76
6.6%-31.9%0.450.212.3x1353%
EMA 크로스오버
fast=58, slow=71
6.1%-34.3%0.440.182.2x2149%
SMA 크로스오버
fast=42, slow=182
4.4%-38.7%0.340.111.8x1948%
ROC 모멘텀
n=129, threshold=0.06
3.2%-35.2%0.280.091.5x9539%
Keltner 채널 돌파
emaPeriod=21, atrPeriod=8, mult=4
0.5%-4.7%0.220.101.1x21%
Supertrend
period=9, mult=4
-0.1%-49.3%0.07-0.001.0x5347%
MACD
fast=13, slow=37, signal=15
-1.0%-61.9%0.05-0.020.9x17449%
Parabolic SAR
step=0.03, maxStep=0.36
-2.2%-69.9%0.02-0.030.7x38453%
ADX / DI 방향성
period=25, threshold=17
-0.7%-24.6%-0.01-0.030.9x8222%
Buy and hold-4.8%-94.2%0.05-0.050.5x1100%
0.1 1x 2014 2016 2018 2020 2022 2024 2026 Donchian 채널 돌파볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -24% -47% -71% -94% 2014 2016 2018 2020 2022 2024 2026 Buy and holdDonchian 채널 돌파볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -10.3% (2021-01-14 → 2021-01-27), recovered after 25 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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