Trend-Following Backtester · Guide · backtest 한국어
etf · US
Advent Convertible and Income Fund backtest
10 trend-following strategies were compared on the full daily history of Advent Convertible and Income Fund. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -4.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.9%, drawdown -72.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -4.4%, Sharpe 0.16, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 0.7%, MDD -32.9%, exposure 61%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 68.3%p (CAGR 0.2%, MDD -4.4%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=29 |
0.2% | -4.4% | 0.16 | 0.04 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=42, exitN=64 |
0.7% | -32.9% | 0.12 | 0.02 | 1.2x | 52 | 61% |
| ROC 모멘텀 n=3, threshold=0.08 |
0.4% | -14.7% | 0.11 | 0.03 | 1.1x | 30 | 1% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-0.7% | -51.5% | 0.00 | -0.01 | 0.9x | 326 | 55% |
| Supertrend period=25, mult=2.8 |
-1.0% | -43.1% | -0.00 | -0.02 | 0.8x | 200 | 62% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=7, mult=1.6 |
-0.4% | -28.8% | -0.00 | -0.01 | 0.9x | 188 | 36% |
| EMA 크로스오버 fast=12, slow=93 |
-0.6% | -39.0% | -0.01 | -0.02 | 0.9x | 96 | 57% |
| SMA 크로스오버 fast=18, slow=41 |
-1.0% | -36.0% | -0.04 | -0.03 | 0.8x | 150 | 55% |
| 볼린저 밴드 돌파 n=40, k=1.9 |
-0.9% | -41.6% | -0.08 | -0.02 | 0.8x | 106 | 30% |
| MACD fast=15, slow=33, signal=11 |
-1.8% | -58.6% | -0.09 | -0.03 | 0.7x | 356 | 50% |
| Buy and hold | -2.9% | -72.6% | -0.02 | -0.04 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)