Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Franklin LibertyShares ICAV - FTSE India UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Franklin LibertyShares ICAV - FTSE India UCITS ETF. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.1%, MDD -12.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.1%, drawdown -40.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.1%, MDD -12.5%, Sharpe 0.76, 55% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.3%, MDD -25.3%, exposure 85%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 9.1%, MDD -12.5%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=11, slow=213 |
9.1% | -12.5% | 0.76 | 0.73 | 1.9x | 8 | 55% |
| EMA 크로스오버 fast=39, slow=207 |
8.4% | -17.6% | 0.69 | 0.48 | 1.8x | 6 | 56% |
| ROC 모멘텀 n=147, threshold=0.13 |
6.0% | -20.0% | 0.64 | 0.30 | 1.5x | 30 | 33% |
| Donchian 채널 돌파 entryN=12, exitN=75 |
9.3% | -25.3% | 0.63 | 0.37 | 1.9x | 17 | 85% |
| 볼린저 밴드 돌파 n=15, k=2.6 |
2.1% | -8.1% | 0.54 | 0.27 | 1.2x | 14 | 9% |
| Keltner 채널 돌파 emaPeriod=120, atrPeriod=14, mult=1.5 |
4.5% | -22.5% | 0.43 | 0.20 | 1.4x | 32 | 54% |
| ADX / DI 방향성 period=32, threshold=17 |
2.6% | -10.9% | 0.41 | 0.24 | 1.2x | 24 | 20% |
| Supertrend period=33, mult=4.8 |
3.0% | -31.5% | 0.28 | 0.10 | 1.2x | 37 | 63% |
| MACD fast=8, slow=36, signal=16 |
-2.5% | -33.0% | -0.14 | -0.07 | 0.8x | 118 | 49% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-8.4% | -49.6% | -0.59 | -0.17 | 0.5x | 134 | 57% |
| Buy and hold | 7.1% | -40.6% | 0.44 | 0.17 | 1.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 11-day average price crosses above the 213-day average
- Sell — Sell (to cash) when the 11-day average falls below the 213-day average