Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Harvest Healthcare Leaders Income ETF backtest
10 trend-following strategies were compared on the full daily history of Harvest Healthcare Leaders Income ETF. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.1%, MDD -2.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR -2.7%, drawdown -45.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -4.1%, Sharpe 0.14, 0% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 41.3%p (CAGR 0.1%, MDD -2.1%, exposure 1%).
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=17, threshold=0.1 |
0.2% | -4.1% | 0.14 | 0.05 | 1.0x | 4 | 0% |
| 볼린저 밴드 돌파 n=17, k=3.1 |
0.1% | -2.1% | 0.12 | 0.05 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=93, slow=133 |
-2.7% | -41.9% | -0.19 | -0.06 | 0.7x | 26 | 42% |
| Donchian 채널 돌파 entryN=49, exitN=34 |
-2.2% | -33.1% | -0.25 | -0.07 | 0.8x | 31 | 37% |
| ADX / DI 방향성 period=25, threshold=27 |
-0.2% | -2.9% | -0.31 | -0.08 | 1.0x | 4 | 0% |
| Supertrend period=7, mult=3.8 |
-3.5% | -40.9% | -0.35 | -0.08 | 0.7x | 55 | 47% |
| MACD fast=24, slow=56, signal=21 |
-4.2% | -43.6% | -0.40 | -0.10 | 0.6x | 95 | 51% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-4.7% | -48.9% | -0.44 | -0.10 | 0.6x | 91 | 51% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=9, mult=2.7 |
-2.1% | -22.6% | -0.44 | -0.09 | 0.8x | 36 | 17% |
| EMA 크로스오버 fast=30, slow=157 |
-4.2% | -43.7% | -0.46 | -0.10 | 0.6x | 30 | 43% |
| Buy and hold | -2.7% | -45.4% | -0.08 | -0.06 | 0.7x | 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 17-day return is greater than 10%
- Sell — Sell when the 17-day return drops to 10% or below