Trend-Following Backtester · Guide · backtest 한국어
etf · US
Adams Diversified Equity Fund Inc. backtest
10 trend-following strategies were compared on the full daily history of Adams Diversified Equity Fund Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.9%, MDD -38.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.7%, drawdown -77.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.9%, MDD -38.9%, Sharpe 0.28, 66% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 38.7%p (CAGR 2.9%, MDD -38.9%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=75, exitN=103 |
2.9% | -38.9% | 0.28 | 0.07 | 3.8x | 55 | 66% |
| SMA 크로스오버 fast=31, slow=219 |
2.4% | -41.7% | 0.24 | 0.06 | 3.1x | 63 | 62% |
| EMA 크로스오버 fast=53, slow=110 |
2.1% | -48.3% | 0.22 | 0.04 | 2.6x | 71 | 63% |
| ADX / DI 방향성 period=46, threshold=29 |
0.2% | -6.1% | 0.14 | 0.03 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=111, threshold=-0.03 |
-0.4% | -69.1% | 0.04 | -0.01 | 0.8x | 345 | 71% |
| Supertrend period=13, mult=4.6 |
-1.0% | -63.3% | -0.01 | -0.02 | 0.6x | 174 | 54% |
| 볼린저 밴드 돌파 n=17, k=3.3 |
-0.3% | -24.2% | -0.09 | -0.01 | 0.9x | 10 | 1% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=20, mult=4 |
-0.7% | -35.2% | -0.16 | -0.02 | 0.7x | 20 | 2% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-5.0% | -92.1% | -0.29 | -0.05 | 0.1x | 572 | 56% |
| MACD fast=24, slow=56, signal=22 |
-5.0% | -92.9% | -0.32 | -0.05 | 0.1x | 452 | 52% |
| Buy and hold | 2.7% | -77.6% | 0.23 | 0.03 | 3.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 75 days
- Sell — Sell when price breaks below the lowest low of the last 103 days