Trend-Following Backtester · Guide · backtest 한국어
etf · US
Kayne Anderson Energy Infrastructure Fund, Inc. backtest
10 trend-following strategies were compared on the full daily history of Kayne Anderson Energy Infrastructure Fund, Inc.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.6%, MDD -4.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.8%, drawdown -95.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.3%, MDD -39.9%, Sharpe 0.34, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 55.2%p (CAGR 0.6%, MDD -4.1%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=84, exitN=71 |
4.3% | -39.9% | 0.34 | 0.11 | 2.5x | 25 | 51% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=28, mult=2.5 |
0.6% | -4.1% | 0.32 | 0.15 | 1.1x | 6 | 1% |
| 볼린저 밴드 돌파 n=23, k=3.4 |
1.1% | -10.0% | 0.32 | 0.11 | 1.3x | 6 | 1% |
| SMA 크로스오버 fast=54, slow=189 |
3.6% | -39.1% | 0.29 | 0.09 | 2.2x | 31 | 56% |
| EMA 크로스오버 fast=55, slow=289 |
3.0% | -36.3% | 0.27 | 0.08 | 1.9x | 19 | 52% |
| Supertrend period=9, mult=5 |
0.6% | -54.1% | 0.12 | 0.01 | 1.1x | 62 | 47% |
| ROC 모멘텀 n=4, threshold=0.11 |
0.4% | -21.2% | 0.08 | 0.02 | 1.1x | 64 | 1% |
| ADX / DI 방향성 period=36, threshold=17 |
-0.1% | -43.0% | 0.04 | -0.00 | 1.0x | 54 | 14% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-3.7% | -84.2% | -0.09 | -0.04 | 0.4x | 180 | 56% |
| MACD fast=17, slow=28, signal=17 |
-7.6% | -92.4% | -0.28 | -0.08 | 0.2x | 308 | 53% |
| Buy and hold | -2.8% | -95.1% | 0.11 | -0.03 | 0.5x | 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 84 days
- Sell — Sell when price breaks below the lowest low of the last 71 days