Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Non-bank ETF backtest
10 trend-following strategies were compared on the full daily history of Non-bank ETF. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.8%, MDD -13.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -7.7%, drawdown -81.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.8%, MDD -13.7%, Sharpe 0.40, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.8%, MDD -24.5%, exposure 42%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 67.6%p (CAGR 3.8%, MDD -13.7%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=13, mult=3.3 |
3.8% | -13.7% | 0.40 | 0.28 | 1.4x | 10 | 4% |
| 볼린저 밴드 돌파 n=46, k=3.2 |
3.7% | -16.2% | 0.35 | 0.23 | 1.4x | 14 | 12% |
| Donchian 채널 돌파 entryN=73, exitN=66 |
3.8% | -24.5% | 0.30 | 0.16 | 1.4x | 12 | 42% |
| ROC 모멘텀 n=53, threshold=0.13 |
3.1% | -17.2% | 0.30 | 0.18 | 1.3x | 28 | 11% |
| SMA 크로스오버 fast=53, slow=63 |
2.7% | -43.3% | 0.24 | 0.06 | 1.3x | 58 | 46% |
| EMA 크로스오버 fast=44, slow=120 |
1.4% | -32.5% | 0.17 | 0.04 | 1.1x | 16 | 47% |
| ADX / DI 방향성 period=11, threshold=37 |
0.2% | -37.4% | 0.08 | 0.00 | 1.0x | 32 | 12% |
| MACD fast=16, slow=42, signal=17 |
-7.4% | -79.4% | -0.04 | -0.09 | 0.5x | 83 | 51% |
| Parabolic SAR step=0.02, maxStep=0.06 |
-8.7% | -80.3% | -0.10 | -0.11 | 0.4x | 117 | 48% |
| Supertrend period=24, mult=2.5 |
-10.4% | -78.2% | -0.16 | -0.13 | 0.4x | 77 | 45% |
| Buy and hold | -7.7% | -81.3% | -0.01 | -0.09 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 13-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average