Trend-Following Backtester · Guide · backtest 한국어
etf · US
ClearBridge Energy Midstream Opportunity Fund Inc. backtest
10 trend-following strategies were compared on the full daily history of ClearBridge Energy Midstream Opportunity Fund Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.0%, MDD -19.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.3%, drawdown -97.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.3%, MDD -20.0%, Sharpe 0.45, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.3%, MDD -30.6%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 77.1%p (CAGR 1.0%, MDD -19.8%, exposure 15%).
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=0.21 |
3.3% | -20.0% | 0.45 | 0.16 | 1.6x | 24 | 1% |
| SMA 크로스오버 fast=52, slow=245 |
6.3% | -30.6% | 0.43 | 0.21 | 2.5x | 13 | 53% |
| EMA 크로스오버 fast=59, slow=148 |
4.8% | -39.8% | 0.35 | 0.12 | 2.0x | 19 | 55% |
| 볼린저 밴드 돌파 n=47, k=2.3 |
3.1% | -28.1% | 0.33 | 0.11 | 1.6x | 38 | 20% |
| Donchian 채널 돌파 entryN=93, exitN=68 |
2.4% | -46.1% | 0.23 | 0.05 | 1.4x | 19 | 42% |
| MACD fast=10, slow=24, signal=17 |
1.4% | -79.1% | 0.17 | 0.02 | 1.2x | 240 | 50% |
| ADX / DI 방향성 period=22, threshold=21 |
1.0% | -19.8% | 0.15 | 0.05 | 1.2x | 66 | 15% |
| Supertrend period=21, mult=4.4 |
0.8% | -52.7% | 0.14 | 0.02 | 1.1x | 67 | 55% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=28, mult=3.1 |
0.0% | -47.8% | 0.06 | 0.00 | 1.0x | 42 | 23% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-1.3% | -79.3% | 0.04 | -0.02 | 0.8x | 334 | 53% |
| Buy and hold | -4.3% | -97.2% | 0.09 | -0.04 | 0.5x | 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 21%
- Sell — Sell when the 10-day return drops to 21% or below