Trend-Following Backtester · Guide · backtest 한국어
etf · US
abrdn Healthcare Opportunities Fund Shares of Beneficial Interest backtest
10 trend-following strategies were compared on the full daily history of abrdn Healthcare Opportunities Fund Shares of Beneficial Interest. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.7%, MDD -3.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR -0.2%, drawdown -45.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.7%, MDD -3.9%, Sharpe 0.59, 1% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 41.9%p (CAGR 1.7%, MDD -3.9%, 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=12, threshold=0.14 |
1.7% | -3.9% | 0.59 | 0.43 | 1.2x | 6 | 1% |
| Donchian 채널 돌파 entryN=118, exitN=24 |
0.7% | -23.0% | 0.14 | 0.03 | 1.1x | 23 | 23% |
| ADX / DI 방향성 period=45, threshold=16 |
0.4% | -11.6% | 0.11 | 0.03 | 1.0x | 16 | 11% |
| SMA 크로스오버 fast=59, slow=179 |
-1.5% | -48.6% | -0.03 | -0.03 | 0.8x | 21 | 46% |
| Supertrend period=21, mult=2 |
-1.9% | -30.3% | -0.07 | -0.06 | 0.8x | 147 | 62% |
| 볼린저 밴드 돌파 n=30, k=3.4 |
-0.2% | -4.4% | -0.11 | -0.05 | 1.0x | 4 | 2% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.7% | -39.9% | -0.16 | -0.07 | 0.7x | 107 | 57% |
| EMA 크로스오버 fast=48, slow=74 |
-3.4% | -46.5% | -0.21 | -0.07 | 0.7x | 35 | 52% |
| MACD fast=16, slow=38, signal=17 |
-4.1% | -42.9% | -0.29 | -0.10 | 0.6x | 149 | 50% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=28, mult=2.3 |
-3.0% | -34.9% | -0.32 | -0.09 | 0.7x | 57 | 30% |
| Buy and hold | -0.2% | -45.8% | 0.10 | -0.00 | 1.0x | 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 12-day return is greater than 14%
- Sell — Sell when the 12-day return drops to 14% or below