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; ROC 모멘텀 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 -2.4%, drawdown -70.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -4.8%, Sharpe 0.18, 0% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 0.3%, MDD -5.4%, exposure 3%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 65.6%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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=13, threshold=0.14 |
0.2% | -4.8% | 0.18 | 0.05 | 1.0x | 10 | 0% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=33, mult=3.8 |
0.3% | -5.4% | 0.15 | 0.05 | 1.1x | 6 | 3% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
0.1% | -3.5% | 0.08 | 0.02 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=43, exitN=79 |
-0.2% | -36.2% | 0.04 | -0.00 | 1.0x | 39 | 62% |
| EMA 크로스오버 fast=52, slow=64 |
-0.3% | -42.5% | 0.02 | -0.01 | 0.9x | 51 | 57% |
| SMA 크로스오버 fast=56, slow=219 |
-0.5% | -48.6% | 0.02 | -0.01 | 0.9x | 27 | 55% |
| Supertrend period=10, mult=4.9 |
-1.3% | -48.0% | -0.09 | -0.03 | 0.8x | 73 | 48% |
| ADX / DI 방향성 period=20, threshold=26 |
-0.5% | -23.1% | -0.14 | -0.02 | 0.9x | 38 | 5% |
| Parabolic SAR step=0.01, maxStep=0.06 |
-6.6% | -79.1% | -0.51 | -0.08 | 0.2x | 268 | 57% |
| MACD fast=19, slow=30, signal=19 |
-6.6% | -81.2% | -0.53 | -0.08 | 0.2x | 274 | 50% |
| Buy and hold | -2.4% | -70.3% | -0.01 | -0.03 | 0.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 13-day return is greater than 14%
- Sell — Sell when the 13-day return drops to 14% or below