Trend-Following Backtester · Guide · backtest 한국어
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Trend ETF Nasdaq 100 Fundo de Indice backtest
10 trend-following strategies were compared on the full daily history of Trend ETF Nasdaq 100 Fundo de Indice. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.5%, MDD -16.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 13.7%, drawdown -41.5%).
Sharpe leader (same as main): Supertrend — CAGR 16.4%, MDD -23.4%, Sharpe 1.06, 67% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 14.5%, MDD -16.3%, exposure 69%).
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=13, mult=3.6 |
16.4% | -23.4% | 1.06 | 0.70 | 2.2x | 18 | 67% |
| SMA 크로스오버 fast=18, slow=206 |
14.0% | -18.4% | 1.00 | 0.76 | 2.0x | 5 | 60% |
| EMA 크로스오버 fast=14, slow=49 |
14.5% | -16.3% | 0.93 | 0.89 | 2.0x | 18 | 69% |
| Donchian 채널 돌파 entryN=20, exitN=19 |
14.2% | -26.6% | 0.91 | 0.53 | 2.0x | 22 | 68% |
| ROC 모멘텀 n=50, threshold=-0.08 |
14.6% | -30.5% | 0.87 | 0.48 | 2.0x | 23 | 81% |
| 볼린저 밴드 돌파 n=50, k=1.1 |
12.0% | -19.1% | 0.87 | 0.63 | 1.8x | 30 | 58% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=21, mult=1.4 |
11.1% | -16.2% | 0.83 | 0.69 | 1.7x | 32 | 54% |
| ADX / DI 방향성 period=31, threshold=15 |
5.8% | -18.0% | 0.49 | 0.32 | 1.3x | 30 | 46% |
| MACD fast=15, slow=29, signal=19 |
5.0% | -29.1% | 0.41 | 0.17 | 1.3x | 56 | 46% |
| Parabolic SAR step=0.005, maxStep=0.18 |
4.1% | -36.1% | 0.34 | 0.11 | 1.2x | 46 | 58% |
| Buy and hold | 13.7% | -41.5% | 0.68 | 0.33 | 1.9x | 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) — 13-day volatility, 3.6× band
- Sell — Sell when price drops below the trend line (flips down)