Trend-Following Backtester · Guide · backtest 한국어
etf · US
Gabelli Multi-Media Trust, Inc. (The) backtest
10 trend-following strategies were compared on the full daily history of Gabelli Multi-Media Trust, Inc. (The). 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.4%, MDD -9.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.7%, drawdown -87.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.8%, MDD -50.8%, Sharpe 0.39, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 36.3%p (CAGR 0.4%, MDD -9.2%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=55, slow=214 |
4.8% | -50.8% | 0.39 | 0.09 | 4.4x | 39 | 48% |
| EMA 크로스오버 fast=64, slow=233 |
3.9% | -30.2% | 0.34 | 0.13 | 3.4x | 24 | 44% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=25, mult=4 |
2.0% | -30.4% | 0.26 | 0.07 | 1.9x | 54 | 19% |
| Donchian 채널 돌파 entryN=117, exitN=78 |
2.0% | -41.5% | 0.21 | 0.05 | 1.9x | 45 | 38% |
| ROC 모멘텀 n=132, threshold=0.08 |
1.8% | -40.6% | 0.20 | 0.04 | 1.8x | 174 | 31% |
| 볼린저 밴드 돌파 n=21, k=3.4 |
0.4% | -9.2% | 0.18 | 0.04 | 1.1x | 4 | 1% |
| Supertrend period=36, mult=4.6 |
-0.7% | -74.4% | 0.04 | -0.01 | 0.8x | 116 | 49% |
| ADX / DI 방향성 period=35, threshold=19 |
-0.3% | -29.9% | 0.01 | -0.01 | 0.9x | 98 | 17% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-4.0% | -79.9% | -0.14 | -0.05 | 0.3x | 540 | 53% |
| MACD fast=19, slow=30, signal=19 |
-5.0% | -83.1% | -0.19 | -0.06 | 0.2x | 380 | 52% |
| Buy and hold | -1.7% | -87.1% | 0.08 | -0.02 | 0.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 55-day average price crosses above the 214-day average
- Sell — Sell (to cash) when the 55-day average falls below the 214-day average