Trend-Following Backtester · Guide · backtest 한국어
etf · US
abrdn Income Credit Strategies Fund backtest
10 trend-following strategies were compared on the full daily history of abrdn Income Credit Strategies Fund. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -2.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.7%, drawdown -76.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.7%, MDD -7.0%, Sharpe 0.57, 4% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 69.7%p (CAGR 0.1%, MDD -2.1%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=13, k=2.7 |
1.7% | -7.0% | 0.57 | 0.24 | 1.3x | 18 | 4% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=8, mult=3.2 |
1.2% | -13.6% | 0.25 | 0.08 | 1.2x | 26 | 8% |
| SMA 크로스오버 fast=113, slow=253 |
1.0% | -22.0% | 0.17 | 0.04 | 1.2x | 12 | 33% |
| ADX / DI 방향성 period=33, threshold=32 |
0.1% | -2.1% | 0.16 | 0.05 | 1.0x | 8 | 1% |
| Supertrend period=7, mult=4.3 |
0.8% | -27.6% | 0.13 | 0.03 | 1.1x | 54 | 42% |
| ROC 모멘텀 n=23, threshold=0.08 |
0.4% | -14.7% | 0.10 | 0.03 | 1.1x | 64 | 6% |
| Donchian 채널 돌파 entryN=15, exitN=25 |
0.5% | -33.6% | 0.10 | 0.01 | 1.1x | 76 | 58% |
| EMA 크로스오버 fast=45, slow=259 |
-0.3% | -20.3% | -0.01 | -0.02 | 1.0x | 10 | 27% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-1.4% | -39.1% | -0.08 | -0.03 | 0.8x | 124 | 47% |
| MACD fast=23, slow=58, signal=24 |
-2.1% | -35.9% | -0.14 | -0.06 | 0.7x | 132 | 50% |
| Buy and hold | -8.7% | -76.7% | -0.36 | -0.11 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 13-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 13-day middle average