Trend-Following Backtester · Guide · backtest 한국어
etf · US
XAI Floating Rate & Alternative Income Trust backtest
10 trend-following strategies were compared on the full daily history of XAI Floating Rate & Alternative Income Trust. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.6%, MDD -6.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.9%, drawdown -71.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.1%, MDD -9.2%, Sharpe 0.55, 11% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.0%p higher than buy and hold, while drawdown improves by 62.7%p (CAGR 1.6%, MDD -6.7%, exposure 5%).
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=103, threshold=0.14 |
4.1% | -9.2% | 0.55 | 0.45 | 1.4x | 14 | 11% |
| 볼린저 밴드 돌파 n=28, k=3.5 |
1.6% | -6.7% | 0.36 | 0.24 | 1.2x | 6 | 5% |
| Donchian 채널 돌파 entryN=34, exitN=68 |
3.8% | -35.9% | 0.33 | 0.11 | 1.4x | 15 | 58% |
| ADX / DI 방향성 period=29, threshold=25 |
2.0% | -17.0% | 0.31 | 0.12 | 1.2x | 14 | 11% |
| SMA 크로스오버 fast=41, slow=119 |
2.9% | -25.5% | 0.31 | 0.11 | 1.3x | 13 | 36% |
| EMA 크로스오버 fast=33, slow=162 |
1.8% | -16.7% | 0.22 | 0.11 | 1.2x | 8 | 34% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=18, mult=2.5 |
1.4% | -29.0% | 0.19 | 0.05 | 1.1x | 23 | 20% |
| Supertrend period=7, mult=3.4 |
1.0% | -35.7% | 0.14 | 0.03 | 1.1x | 37 | 44% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.1% | -48.0% | 0.06 | -0.00 | 1.0x | 62 | 48% |
| MACD fast=26, slow=37, signal=34 |
-3.2% | -53.6% | -0.17 | -0.06 | 0.7x | 64 | 49% |
| Buy and hold | -10.9% | -71.9% | -0.32 | -0.15 | 0.4x | 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 103-day return is greater than 14%
- Sell — Sell when the 103-day return drops to 14% or below