Trend-Following Backtester · Guide · backtest 한국어
etf · US
Guggenheim Strategic Opportunities Fund backtest
10 trend-following strategies were compared on the full daily history of Guggenheim Strategic Opportunities Fund. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.3%, MDD -23.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.4%, drawdown -62.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.2%, MDD -26.6%, Sharpe 0.26, 45% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 36.1%p (CAGR 1.3%, MDD -23.8%, exposure 12%).
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=31, slow=221 |
2.2% | -26.6% | 0.26 | 0.08 | 1.5x | 26 | 45% |
| ROC 모멘텀 n=87, threshold=0.1 |
1.3% | -23.8% | 0.24 | 0.05 | 1.3x | 94 | 12% |
| EMA 크로스오버 fast=31, slow=110 |
1.7% | -31.3% | 0.22 | 0.06 | 1.4x | 32 | 49% |
| Donchian 채널 돌파 entryN=105, exitN=26 |
1.2% | -37.2% | 0.20 | 0.03 | 1.3x | 34 | 28% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=12, mult=3.3 |
0.9% | -23.9% | 0.17 | 0.04 | 1.2x | 34 | 15% |
| ADX / DI 방향성 period=38, threshold=16 |
0.2% | -25.0% | 0.07 | 0.01 | 1.0x | 52 | 13% |
| Supertrend period=16, mult=5 |
-0.3% | -47.8% | 0.02 | -0.01 | 0.9x | 52 | 49% |
| 볼린저 밴드 돌파 n=54, k=2 |
-1.0% | -44.0% | -0.09 | -0.02 | 0.8x | 68 | 27% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-5.2% | -64.1% | -0.41 | -0.08 | 0.4x | 150 | 57% |
| MACD fast=23, slow=61, signal=40 |
-6.4% | -74.5% | -0.50 | -0.09 | 0.3x | 150 | 55% |
| Buy and hold | -3.4% | -62.7% | -0.05 | -0.05 | 0.5x | 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 31-day average price crosses above the 221-day average
- Sell — Sell (to cash) when the 31-day average falls below the 221-day average