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. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.8%, MDD -12.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.1%, drawdown -40.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.2%, MDD -12.5%, Sharpe 0.76, 55% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.0%, MDD -19.6%, exposure 86%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 8.8%, MDD -12.5%, exposure 53%).
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=18, slow=189 |
9.2% | -12.5% | 0.76 | 0.74 | 1.9x | 8 | 55% |
| SMA 크로스오버 fast=10, slow=216 |
8.8% | -12.5% | 0.74 | 0.71 | 1.8x | 10 | 53% |
| Donchian 채널 돌파 entryN=12, exitN=82 |
10.0% | -19.6% | 0.67 | 0.51 | 2.0x | 13 | 86% |
| ADX / DI 방향성 period=38, threshold=16 |
4.2% | -7.0% | 0.64 | 0.60 | 1.3x | 20 | 21% |
| ROC 모멘텀 n=117, threshold=0.06 |
6.8% | -13.9% | 0.64 | 0.49 | 1.6x | 22 | 44% |
| 볼린저 밴드 돌파 n=27, k=3 |
1.7% | -5.3% | 0.49 | 0.33 | 1.1x | 6 | 7% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=26, mult=4 |
1.5% | -10.3% | 0.29 | 0.15 | 1.1x | 16 | 20% |
| Supertrend period=36, mult=4.8 |
2.4% | -31.1% | 0.24 | 0.08 | 1.2x | 38 | 64% |
| MACD fast=12, slow=39, signal=13 |
-2.1% | -34.5% | -0.11 | -0.06 | 0.9x | 110 | 48% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-2.6% | -34.9% | -0.14 | -0.08 | 0.8x | 68 | 59% |
| Buy and hold | 6.1% | -40.6% | 0.40 | 0.15 | 1.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 18-day EMA crosses above the 189-day EMA
- Sell — Sell when the 18-day EMA falls below the 189-day EMA