Trend-Following Backtester · Guide · backtest 한국어
etf · US
Virtus Dividend, Interest & Premium Strategy Fund backtest
10 trend-following strategies were compared on the full daily history of Virtus Dividend, Interest & Premium Strategy Fund. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.1%, MDD -3.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.3%, drawdown -70.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.3%, MDD -4.2%, Sharpe 0.16, 2% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 66.1%p (CAGR 0.1%, MDD -3.5%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=27, mult=3.5 |
0.3% | -4.2% | 0.16 | 0.06 | 1.1x | 4 | 2% |
| 볼린저 밴드 돌파 n=32, k=3.4 |
0.1% | -3.5% | 0.08 | 0.02 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=135, threshold=0.14 |
0.2% | -22.3% | 0.07 | 0.01 | 1.0x | 87 | 11% |
| SMA 크로스오버 fast=56, slow=218 |
-0.5% | -49.5% | 0.02 | -0.01 | 0.9x | 27 | 54% |
| EMA 크로스오버 fast=48, slow=68 |
-0.4% | -44.0% | 0.01 | -0.01 | 0.9x | 53 | 57% |
| ADX / DI 방향성 period=37, threshold=18 |
-0.1% | -9.6% | -0.03 | -0.01 | 1.0x | 22 | 2% |
| Supertrend period=10, mult=4.9 |
-1.2% | -48.0% | -0.08 | -0.03 | 0.8x | 73 | 48% |
| Donchian 채널 돌파 entryN=79, exitN=78 |
-1.3% | -48.2% | -0.09 | -0.03 | 0.8x | 35 | 51% |
| MACD fast=19, slow=36, signal=16 |
-6.5% | -81.2% | -0.51 | -0.08 | 0.2x | 274 | 50% |
| Parabolic SAR step=0.025, maxStep=0.3 |
-10.6% | -91.5% | -0.80 | -0.12 | 0.1x | 536 | 56% |
| Buy and hold | -2.3% | -70.3% | -0.01 | -0.03 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 21-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 21-day average