Trend-Following Backtester · Guide · backtest 한국어
etf · US
DNP Select Income Fund, Inc. backtest
10 trend-following strategies were compared on the full daily history of DNP Select Income Fund, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.2%, MDD -9.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 0.1%, drawdown -54.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -9.8%, Sharpe 0.08, 1% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 45.0%p (CAGR 0.2%, MDD -9.8%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=13, threshold=0.1 |
0.2% | -9.8% | 0.08 | 0.02 | 1.1x | 36 | 1% |
| SMA 크로스오버 fast=55, slow=223 |
0.1% | -53.0% | 0.07 | 0.00 | 1.0x | 49 | 61% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=15, mult=3.2 |
0.1% | -4.0% | 0.06 | 0.01 | 1.0x | 4 | 1% |
| Donchian 채널 돌파 entryN=70, exitN=71 |
-0.6% | -42.9% | 0.00 | -0.01 | 0.8x | 67 | 54% |
| EMA 크로스오버 fast=29, slow=181 |
-0.7% | -40.5% | -0.00 | -0.02 | 0.8x | 69 | 60% |
| ADX / DI 방향성 period=36, threshold=39 |
-0.0% | -3.3% | -0.02 | -0.01 | 1.0x | 4 | 1% |
| 볼린저 밴드 돌파 n=57, k=3.5 |
-0.4% | -19.3% | -0.14 | -0.02 | 0.8x | 14 | 3% |
| Supertrend period=26, mult=3.8 |
-2.5% | -71.9% | -0.15 | -0.04 | 0.4x | 121 | 64% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-2.8% | -76.6% | -0.19 | -0.04 | 0.3x | 424 | 56% |
| MACD fast=26, slow=75, signal=36 |
-3.2% | -73.4% | -0.23 | -0.04 | 0.3x | 269 | 53% |
| Buy and hold | 0.1% | -54.8% | 0.10 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 13-day return is greater than 10%
- Sell — Sell when the 13-day return drops to 10% or below