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 3%.
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=-0.01 |
-0.1% | -3.9% | -0.08 | -0.03 | 1.0x | 3 | 100% |
| 볼린저 밴드 돌파 n=23, k=3.1 |
-0.3% | -3.9% | -0.32 | -0.08 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=18, mult=2.8 |
-0.3% | -3.9% | -0.32 | -0.08 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=174, slow=449 |
-0.2% | -3.1% | -0.34 | -0.08 | 1.0x | 6 | 39% |
| ADX / DI 방향성 period=36, threshold=39 |
-0.1% | -0.9% | -0.35 | -0.08 | 1.0x | 2 | 3% |
| SMA 크로스오버 fast=43, slow=187 |
-2.3% | -26.3% | -2.00 | -0.09 | 0.7x | 58 | 44% |
| Donchian 채널 돌파 entryN=92, exitN=77 |
-3.1% | -33.5% | -2.04 | -0.09 | 0.7x | 66 | 17% |
| Supertrend period=7, mult=5 |
-4.5% | -44.4% | -2.64 | -0.10 | 0.6x | 92 | 8% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-7.2% | -62.0% | -3.65 | -0.12 | 0.4x | 164 | 20% |
| MACD fast=12, slow=65, signal=14 |
-12.2% | -81.3% | -5.11 | -0.15 | 0.2x | 302 | 48% |
| 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 -1%
- Sell — Sell when the 11-day return drops to -1% or below