Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Scotia US Equity Index Tracker ETF backtest
10 trend-following strategies were compared on the full daily history of Scotia US Equity Index Tracker ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.9%, MDD -12.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.5%, drawdown -24.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.9%, MDD -12.8%, Sharpe 1.28, 76% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.0%, MDD -18.5%, exposure 91%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 11.6%p (CAGR 13.9%, MDD -12.8%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=53, slow=84 |
13.9% | -12.8% | 1.28 | 1.09 | 2.2x | 7 | 76% |
| SMA 크로스오버 fast=24, slow=131 |
12.9% | -14.0% | 1.23 | 0.92 | 2.1x | 9 | 72% |
| Donchian 채널 돌파 entryN=15, exitN=75 |
15.0% | -18.5% | 1.19 | 0.81 | 2.3x | 9 | 91% |
| Parabolic SAR step=0.02, maxStep=0.02 |
11.3% | -18.4% | 1.11 | 0.62 | 1.9x | 25 | 73% |
| ROC 모멘텀 n=87, threshold=0.01 |
11.0% | -18.4% | 1.08 | 0.60 | 1.9x | 33 | 71% |
| MACD fast=25, slow=77, signal=22 |
9.0% | -12.6% | 1.05 | 0.72 | 1.7x | 39 | 51% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=6, mult=3.6 |
7.9% | -14.1% | 1.04 | 0.56 | 1.6x | 30 | 47% |
| ADX / DI 방향성 period=21, threshold=15 |
8.6% | -13.6% | 1.02 | 0.63 | 1.6x | 60 | 55% |
| 볼린저 밴드 돌파 n=39, k=1.1 |
5.8% | -19.0% | 0.70 | 0.31 | 1.4x | 45 | 58% |
| Supertrend period=29, mult=4.9 |
6.5% | -21.5% | 0.66 | 0.30 | 1.4x | 43 | 69% |
| Buy and hold | 16.5% | -24.4% | 1.11 | 0.68 | 2.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 84-day EMA
- Sell — Sell when the 53-day EMA falls below the 84-day EMA