Trend-Following Backtester · Guide · backtest 한국어
etf · US
Gabelli Equity Trust, Inc. (The) backtest
10 trend-following strategies were compared on the full daily history of Gabelli Equity Trust, Inc. (The). 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.0%, MDD -4.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.9%, drawdown -83.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.1%, MDD -36.2%, Sharpe 0.07, 50% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 0.2%, MDD -20.0%, exposure 0%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 46.9%p (CAGR 0.0%, MDD -4.1%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=73, exitN=65 |
0.1% | -36.2% | 0.07 | 0.00 | 1.1x | 75 | 50% |
| ROC 모멘텀 n=9, threshold=0.18 |
0.2% | -20.0% | 0.06 | 0.01 | 1.1x | 20 | 0% |
| SMA 크로스오버 fast=28, slow=133 |
-0.1% | -56.4% | 0.06 | -0.00 | 1.0x | 99 | 54% |
| ADX / DI 방향성 period=25, threshold=39 |
0.0% | -9.7% | 0.02 | 0.00 | 1.0x | 6 | 1% |
| 볼린저 밴드 돌파 n=35, k=3.5 |
0.0% | -4.1% | 0.01 | 0.00 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=34, slow=76 |
-1.3% | -62.3% | -0.03 | -0.02 | 0.6x | 117 | 55% |
| Supertrend period=13, mult=4.8 |
-2.2% | -69.9% | -0.10 | -0.03 | 0.4x | 120 | 51% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-3.2% | -84.1% | -0.13 | -0.04 | 0.3x | 453 | 56% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=15, mult=2.3 |
-2.4% | -69.5% | -0.21 | -0.04 | 0.4x | 164 | 26% |
| MACD fast=15, slow=40, signal=19 |
-7.5% | -97.0% | -0.43 | -0.08 | 0.0x | 508 | 51% |
| Buy and hold | -0.9% | -83.0% | 0.08 | -0.01 | 0.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 73 days
- Sell — Sell when price breaks below the lowest low of the last 65 days