Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Metrics Master Income Trust backtest
10 trend-following strategies were compared on the full daily history of Metrics Master Income Trust. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -1.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.6%, drawdown -39.6%).
Sharpe leader (same as main): Supertrend — CAGR 1.1%, MDD -7.5%, Sharpe 0.16, 64% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 32.1%p (CAGR -0.0%, MDD -1.0%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=29, mult=4.8 |
1.1% | -7.5% | 0.16 | 0.14 | 1.1x | 8 | 64% |
| ROC 모멘텀 n=47, threshold=0.12 |
0.1% | -4.6% | 0.04 | 0.01 | 1.0x | 8 | 1% |
| ADX / DI 방향성 period=32, threshold=37 |
-0.0% | -1.0% | 0.00 | -0.00 | 1.0x | 2 | 3% |
| SMA 크로스오버 fast=42, slow=202 |
-0.4% | -8.6% | -0.03 | -0.05 | 1.0x | 12 | 52% |
| EMA 크로스오버 fast=75, slow=217 |
-0.5% | -8.4% | -0.06 | -0.07 | 1.0x | 8 | 49% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=8, mult=2.9 |
-0.1% | -2.5% | -0.07 | -0.03 | 1.0x | 2 | 2% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-1.7% | -25.8% | -0.13 | -0.06 | 0.9x | 48 | 61% |
| Donchian 채널 돌파 entryN=96, exitN=80 |
-0.9% | -12.0% | -0.14 | -0.07 | 0.9x | 10 | 38% |
| 볼린저 밴드 돌파 n=21, k=3.2 |
-0.4% | -3.8% | -0.40 | -0.11 | 1.0x | 2 | 0% |
| MACD fast=38, slow=61, signal=26 |
-7.2% | -49.9% | -0.94 | -0.14 | 0.5x | 79 | 48% |
| Buy and hold | -0.6% | -39.6% | 0.06 | -0.02 | 0.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 29-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)