Trend-Following Backtester · Guide · backtest 한국어
etf · US
abrdn Global Infrastructure Income Fund backtest
10 trend-following strategies were compared on the full daily history of abrdn Global Infrastructure Income 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 1.6%, MDD -5.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.2%, drawdown -32.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.6%, MDD -5.5%, Sharpe 0.40, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.2%, MDD -19.8%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 27.2%p (CAGR 1.6%, MDD -5.5%, exposure 7%).
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=24, k=3 |
1.6% | -5.5% | 0.40 | 0.28 | 1.1x | 6 | 7% |
| SMA 크로스오버 fast=59, slow=152 |
3.2% | -19.8% | 0.32 | 0.16 | 1.2x | 8 | 51% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=27, mult=2.6 |
1.3% | -8.0% | 0.28 | 0.16 | 1.1x | 10 | 7% |
| ADX / DI 방향성 period=33, threshold=14 |
1.8% | -14.7% | 0.22 | 0.12 | 1.1x | 32 | 43% |
| Donchian 채널 돌파 entryN=114, exitN=50 |
1.7% | -16.8% | 0.20 | 0.10 | 1.1x | 6 | 36% |
| Parabolic SAR step=0.035, maxStep=0.06 |
1.0% | -23.3% | 0.14 | 0.04 | 1.1x | 94 | 55% |
| Supertrend period=9, mult=2.1 |
0.6% | -20.2% | 0.11 | 0.03 | 1.0x | 60 | 54% |
| MACD fast=12, slow=25, signal=18 |
0.6% | -20.6% | 0.11 | 0.03 | 1.0x | 88 | 50% |
| ROC 모멘텀 n=134, threshold=0 |
0.2% | -24.8% | 0.08 | 0.01 | 1.0x | 44 | 52% |
| EMA 크로스오버 fast=49, slow=127 |
-0.7% | -28.2% | 0.02 | -0.02 | 1.0x | 10 | 55% |
| Buy and hold | 0.2% | -32.8% | 0.11 | 0.01 | 1.0x | 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 24-day average (3× volatility)
- Sell — Sell when the close falls back to the 24-day middle average