Trend-Following Backtester · Guide · backtest 한국어
etf · CA
TD U.S. Equity Index ETF backtest
10 trend-following strategies were compared on the full daily history of TD U.S. Equity Index ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.4%, MDD -16.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.1%, drawdown -28.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.6%, MDD -18.3%, Sharpe 1.04, 78% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 9.6%p (CAGR 11.4%, MDD -16.8%, exposure 81%).
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=19, slow=65 |
11.6% | -18.3% | 1.04 | 0.63 | 3.1x | 23 | 78% |
| Donchian 채널 돌파 entryN=47, exitN=63 |
11.4% | -16.8% | 1.01 | 0.68 | 3.1x | 15 | 81% |
| SMA 크로스오버 fast=11, slow=158 |
9.9% | -20.1% | 0.88 | 0.49 | 2.7x | 17 | 76% |
| ROC 모멘텀 n=124, threshold=-0.03 |
9.2% | -23.3% | 0.76 | 0.40 | 2.5x | 37 | 85% |
| MACD fast=35, slow=53, signal=23 |
6.5% | -14.0% | 0.75 | 0.47 | 1.9x | 70 | 53% |
| Supertrend period=21, mult=5 |
6.1% | -12.8% | 0.67 | 0.48 | 1.9x | 49 | 66% |
| 볼린저 밴드 돌파 n=50, k=1.1 |
5.1% | -16.8% | 0.61 | 0.31 | 1.7x | 66 | 60% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=15, mult=1.4 |
5.1% | -19.7% | 0.58 | 0.26 | 1.7x | 82 | 64% |
| Parabolic SAR step=0.015, maxStep=0.06 |
4.9% | -26.5% | 0.52 | 0.19 | 1.6x | 126 | 66% |
| ADX / DI 방향성 period=23, threshold=6 |
1.3% | -31.9% | 0.18 | 0.04 | 1.1x | 154 | 66% |
| Buy and hold | 14.1% | -28.0% | 0.89 | 0.51 | 3.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 19-day EMA crosses above the 65-day EMA
- Sell — Sell when the 19-day EMA falls below the 65-day EMA