Trend-Following Backtester · Guide · backtest 한국어
etf · US
Gabelli Dividend & Income Trust backtest
10 trend-following strategies were compared on the full daily history of Gabelli Dividend & Income Trust. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 3.1%, MDD -27.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.0%, drawdown -73.3%).
Sharpe leader (same as main): Supertrend — CAGR 3.1%, MDD -27.7%, Sharpe 0.33, 62% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 45.7%p (CAGR 3.1%, MDD -27.7%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=27, mult=5 |
3.1% | -27.7% | 0.33 | 0.11 | 2.0x | 79 | 62% |
| ROC 모멘텀 n=149, threshold=-0.07 |
2.4% | -38.9% | 0.25 | 0.06 | 1.7x | 93 | 76% |
| SMA 크로스오버 fast=40, slow=224 |
2.2% | -48.8% | 0.24 | 0.04 | 1.6x | 39 | 61% |
| Donchian 채널 돌파 entryN=37, exitN=79 |
2.1% | -37.3% | 0.23 | 0.06 | 1.6x | 43 | 76% |
| EMA 크로스오버 fast=52, slow=101 |
1.6% | -39.9% | 0.20 | 0.04 | 1.4x | 43 | 62% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=28, mult=3.5 |
0.0% | -2.3% | 0.07 | 0.02 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=22, threshold=28 |
-0.1% | -12.0% | -0.01 | -0.00 | 1.0x | 22 | 3% |
| 볼린저 밴드 돌파 n=58, k=2.5 |
-0.2% | -25.2% | -0.02 | -0.01 | 0.9x | 33 | 15% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-3.8% | -62.9% | -0.24 | -0.06 | 0.4x | 399 | 59% |
| MACD fast=8, slow=30, signal=19 |
-4.2% | -70.9% | -0.28 | -0.06 | 0.4x | 400 | 51% |
| Buy and hold | 2.0% | -73.3% | 0.20 | 0.03 | 1.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 27-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)