Trend-Following Backtester · Guide · backtest 한국어
etf · AU
BetaShares NASDAQ 100 ETF backtest
10 trend-following strategies were compared on the full daily history of BetaShares NASDAQ 100 ETF. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.0%, MDD -20.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.1%, drawdown -33.0%).
Sharpe leader (same as main): Supertrend — CAGR 13.5%, MDD -17.7%, Sharpe 1.00, 67% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 16.0%, MDD -33.0%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.7%p lower than buy and hold, while drawdown improves by 15.3%p (CAGR 15.0%, MDD -20.7%, exposure 76%).
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=26, mult=4.7 |
13.5% | -17.7% | 1.00 | 0.76 | 4.1x | 54 | 67% |
| SMA 크로스오버 fast=13, slow=200 |
15.0% | -20.7% | 0.98 | 0.73 | 4.8x | 13 | 76% |
| EMA 크로스오버 fast=12, slow=213 |
14.8% | -20.7% | 0.96 | 0.71 | 4.7x | 11 | 77% |
| Donchian 채널 돌파 entryN=20, exitN=103 |
14.9% | -33.0% | 0.89 | 0.45 | 4.7x | 15 | 90% |
| ROC 모멘텀 Hold-like · Exposure 99% n=21, threshold=-0.13 |
16.0% | -33.0% | 0.88 | 0.48 | 5.2x | 5 | 99% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=9, mult=1.6 |
7.9% | -23.2% | 0.65 | 0.34 | 2.3x | 72 | 63% |
| 볼린저 밴드 돌파 n=62, k=1 |
7.4% | -27.4% | 0.63 | 0.27 | 2.2x | 62 | 61% |
| Parabolic SAR step=0.005, maxStep=0.34 |
6.4% | -20.8% | 0.53 | 0.31 | 2.0x | 98 | 64% |
| MACD fast=17, slow=54, signal=19 |
4.7% | -23.2% | 0.44 | 0.20 | 1.7x | 130 | 51% |
| ADX / DI 방향성 period=23, threshold=20 |
2.1% | -13.0% | 0.34 | 0.16 | 1.3x | 48 | 21% |
| Buy and hold | 17.1% | -33.0% | 0.92 | 0.52 | 5.9x | 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) — 26-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)