Trend-Following Backtester · Guide · backtest 한국어
etf · US
DoubleLine Income Solutions Fund backtest
10 trend-following strategies were compared on the full daily history of DoubleLine Income Solutions Fund. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.5%, MDD -2.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -6.3%, drawdown -59.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.5%, MDD -2.4%, Sharpe 0.27, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 57.1%p (CAGR 0.5%, MDD -2.4%, exposure 0%).
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=10, threshold=0.16 |
0.5% | -2.4% | 0.27 | 0.19 | 1.1x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=18, mult=2.1 |
0.2% | -3.2% | 0.10 | 0.05 | 1.0x | 4 | 1% |
| ADX / DI 방향성 period=25, threshold=23 |
0.2% | -13.8% | 0.07 | 0.01 | 1.0x | 24 | 8% |
| 볼린저 밴드 돌파 n=31, k=3.1 |
0.1% | -7.7% | 0.06 | 0.02 | 1.0x | 8 | 3% |
| SMA 크로스오버 fast=14, slow=215 |
-0.8% | -22.7% | -0.06 | -0.03 | 0.9x | 28 | 42% |
| Donchian 채널 돌파 entryN=13, exitN=54 |
-1.9% | -37.3% | -0.12 | -0.05 | 0.8x | 50 | 71% |
| Supertrend period=15, mult=5 |
-1.6% | -30.3% | -0.17 | -0.05 | 0.8x | 36 | 41% |
| EMA 크로스오버 fast=27, slow=180 |
-1.7% | -28.4% | -0.20 | -0.06 | 0.8x | 28 | 40% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-6.0% | -60.9% | -0.53 | -0.10 | 0.4x | 170 | 51% |
| MACD fast=17, slow=86, signal=18 |
-7.1% | -63.7% | -0.72 | -0.11 | 0.4x | 142 | 49% |
| Buy and hold | -6.3% | -59.5% | -0.25 | -0.11 | 0.4x | 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 10-day return is greater than 16%
- Sell — Sell when the 10-day return drops to 16% or below