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 볼린저 밴드 돌파 (CAGR 1.5%, MDD -27.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.4%, drawdown -95.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.6%, MDD -39.9%, Sharpe 0.36, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 55.2%p (CAGR 1.5%, MDD -27.2%, exposure 13%).
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=82, exitN=71 |
4.6% | -39.9% | 0.36 | 0.12 | 2.7x | 25 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=18, mult=3.9 |
1.9% | -27.7% | 0.25 | 0.07 | 1.5x | 32 | 18% |
| SMA 크로스오버 fast=42, slow=103 |
2.7% | -60.1% | 0.24 | 0.04 | 1.8x | 59 | 54% |
| 볼린저 밴드 돌파 n=53, k=2.8 |
1.5% | -27.2% | 0.22 | 0.06 | 1.4x | 28 | 13% |
| EMA 크로스오버 fast=59, slow=151 |
1.9% | -46.7% | 0.20 | 0.04 | 1.5x | 31 | 58% |
| Supertrend period=9, mult=5 |
0.9% | -54.1% | 0.14 | 0.02 | 1.2x | 61 | 46% |
| ADX / DI 방향성 period=34, threshold=17 |
-0.3% | -48.1% | 0.02 | -0.01 | 0.9x | 56 | 15% |
| ROC 모멘텀 n=26, threshold=0.14 |
-1.0% | -38.7% | -0.05 | -0.03 | 0.8x | 96 | 4% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.7% | -84.2% | -0.09 | -0.04 | 0.4x | 179 | 56% |
| MACD fast=19, slow=25, signal=16 |
-7.5% | -92.0% | -0.27 | -0.08 | 0.2x | 309 | 53% |
| Buy and hold | -2.4% | -95.1% | 0.12 | -0.03 | 0.6x | 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 82 days
- Sell — Sell when price breaks below the lowest low of the last 71 days