Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Purpose High Interest Savings Fund backtest
10 trend-following strategies were compared on the full daily history of Purpose High Interest Savings Fund. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR -0.0%, drawdown -2.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -0.1%, MDD -3.9%, Sharpe -0.08, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.1%, MDD -0.9%, exposure 2%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 100% n=11, threshold=-0.02 |
-0.1% | -3.9% | -0.08 | -0.03 | 1.0x | 3 | 100% |
| 볼린저 밴드 돌파 n=32, k=3.3 |
-0.3% | -3.9% | -0.32 | -0.08 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=15, mult=4 |
-0.3% | -3.9% | -0.32 | -0.08 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=28, threshold=47 |
-0.1% | -0.9% | -0.35 | -0.08 | 1.0x | 2 | 2% |
| Donchian 채널 돌파 entryN=85, exitN=131 |
-2.7% | -31.0% | -1.63 | -0.09 | 0.7x | 60 | 21% |
| SMA 크로스오버 fast=41, slow=170 |
-3.3% | -34.7% | -2.36 | -0.10 | 0.7x | 83 | 43% |
| EMA 크로스오버 fast=59, slow=205 |
-3.8% | -38.5% | -2.65 | -0.10 | 0.6x | 87 | 40% |
| Supertrend period=7, mult=5 |
-4.5% | -44.4% | -2.65 | -0.10 | 0.6x | 92 | 8% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-7.3% | -61.6% | -3.65 | -0.12 | 0.4x | 162 | 20% |
| MACD fast=12, slow=40, signal=15 |
-12.3% | -81.0% | -5.12 | -0.15 | 0.2x | 300 | 49% |
| Buy and hold | -0.0% | -2.9% | -0.02 | -0.01 | 1.0x | 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 11-day return is greater than -2%
- Sell — Sell when the 11-day return drops to -2% or below