Trend-Following Backtester · Guide · backtest 한국어
etf · US
Adams Natural Resources Fund, Inc. backtest
10 trend-following strategies were compared on the full daily history of Adams Natural Resources Fund, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.9%, drawdown -86.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.8%, MDD -74.4%, Sharpe 0.15, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 98% n=10, threshold=-0.11 |
0.8% | -74.4% | 0.15 | 0.01 | 1.5x | 121 | 98% |
| Donchian 채널 돌파 entryN=12, exitN=65 |
-0.9% | -82.7% | 0.06 | -0.01 | 0.7x | 171 | 82% |
| SMA 크로스오버 fast=43, slow=218 |
-0.4% | -57.7% | 0.05 | -0.01 | 0.8x | 75 | 54% |
| ADX / DI 방향성 period=37, threshold=28 |
-0.0% | -21.0% | 0.01 | -0.00 | 1.0x | 10 | 1% |
| Supertrend period=19, mult=4.2 |
-1.1% | -81.1% | 0.00 | -0.01 | 0.6x | 220 | 54% |
| EMA 크로스오버 fast=48, slow=136 |
-1.2% | -77.9% | -0.01 | -0.02 | 0.6x | 89 | 55% |
| 볼린저 밴드 돌파 n=21, k=3.3 |
-0.1% | -20.8% | -0.01 | -0.00 | 1.0x | 18 | 2% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-1.4% | -80.6% | -0.01 | -0.02 | 0.5x | 354 | 51% |
| MACD fast=15, slow=44, signal=14 |
-1.7% | -81.4% | -0.03 | -0.02 | 0.4x | 568 | 51% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=8, mult=4 |
-1.2% | -75.3% | -0.09 | -0.02 | 0.6x | 106 | 17% |
| Buy and hold | 0.9% | -86.2% | 0.16 | 0.01 | 1.5x | 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 10-day return is greater than -11%
- Sell — Sell when the 10-day return drops to -11% or below