Trend-Following Backtester · Guide · backtest 한국어
etf · US
abrdn Total Dynamic Dividend Fund backtest
10 trend-following strategies were compared on the full daily history of abrdn Total Dynamic Dividend Fund. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.2%, MDD -11.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -6.9%, drawdown -88.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.2%, MDD -11.0%, Sharpe 0.08, 1% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 77.1%p (CAGR 0.2%, MDD -11.0%, 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=12, k=2.8 |
0.2% | -11.0% | 0.08 | 0.02 | 1.0x | 6 | 1% |
| Supertrend period=20, mult=4.8 |
-0.2% | -48.3% | 0.03 | -0.00 | 1.0x | 71 | 54% |
| SMA 크로스오버 fast=30, slow=151 |
-0.8% | -56.8% | -0.01 | -0.01 | 0.9x | 39 | 51% |
| EMA 크로스오버 fast=17, slow=77 |
-1.2% | -49.5% | -0.06 | -0.02 | 0.8x | 65 | 52% |
| Donchian 채널 돌파 entryN=23, exitN=13 |
-1.5% | -48.8% | -0.10 | -0.03 | 0.7x | 135 | 43% |
| ROC 모멘텀 n=138, threshold=-0.08 |
-2.5% | -64.0% | -0.14 | -0.04 | 0.6x | 95 | 70% |
| ADX / DI 방향성 period=16, threshold=34 |
-0.5% | -19.1% | -0.17 | -0.03 | 0.9x | 20 | 1% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=26, mult=1.2 |
-2.9% | -51.2% | -0.25 | -0.06 | 0.6x | 145 | 45% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-5.7% | -73.2% | -0.33 | -0.08 | 0.3x | 320 | 58% |
| MACD fast=8, slow=42, signal=19 |
-8.0% | -80.7% | -0.50 | -0.10 | 0.2x | 304 | 51% |
| Buy and hold | -6.9% | -88.1% | -0.15 | -0.08 | 0.3x | 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 12-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 12-day middle average