Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Franklin LibertyShares ICAV - Franklin FTSE Korea UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Franklin LibertyShares ICAV - Franklin FTSE Korea UCITS ETF. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.4%, MDD -22.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 18.3%, drawdown -39.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.4%, MDD -26.7%, Sharpe 0.93, 28% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 19.0%, MDD -32.8%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 12.7%p (CAGR 15.4%, MDD -22.7%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=15 |
16.4% | -26.7% | 0.93 | 0.62 | 3.0x | 16 | 28% |
| ROC 모멘텀 n=144, threshold=0.2 |
17.0% | -32.8% | 0.91 | 0.52 | 3.1x | 19 | 24% |
| EMA 크로스오버 fast=46, slow=197 |
19.0% | -32.8% | 0.91 | 0.58 | 3.5x | 7 | 50% |
| 볼린저 밴드 돌파 n=76, k=2.6 |
15.4% | -22.7% | 0.90 | 0.68 | 2.8x | 6 | 22% |
| SMA 크로스오버 fast=23, slow=83 |
16.6% | -33.9% | 0.80 | 0.49 | 3.0x | 20 | 56% |
| Donchian 채널 돌파 entryN=85, exitN=66 |
16.2% | -32.8% | 0.79 | 0.50 | 3.0x | 11 | 53% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=17, mult=2.7 |
12.8% | -34.1% | 0.73 | 0.38 | 2.4x | 34 | 42% |
| Supertrend period=27, mult=4.7 |
13.6% | -48.1% | 0.73 | 0.28 | 2.5x | 46 | 49% |
| MACD fast=18, slow=60, signal=9 |
11.1% | -46.5% | 0.63 | 0.24 | 2.1x | 91 | 53% |
| Parabolic SAR step=0.025, maxStep=0.24 |
6.1% | -46.9% | 0.40 | 0.13 | 1.5x | 146 | 53% |
| Buy and hold | 18.3% | -39.4% | 0.72 | 0.46 | 3.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)