Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Listed Index Fund US Equity (S&P500) Currency Hedge backtest
10 trend-following strategies were compared on the full daily history of Listed Index Fund US Equity (S&P500) Currency Hedge. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.9%, MDD -24.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.9%, drawdown -34.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.6%, MDD -21.3%, Sharpe 0.64, 70% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.9%, MDD -24.5%, exposure 87%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 13.1%p (CAGR 8.9%, MDD -24.5%, exposure 87%).
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=28, slow=97 |
7.6% | -21.3% | 0.64 | 0.36 | 1.8x | 13 | 70% |
| ROC 모멘텀 n=116, threshold=-0.09 |
8.9% | -24.5% | 0.62 | 0.36 | 2.0x | 19 | 87% |
| SMA 크로스오버 fast=14, slow=160 |
7.4% | -21.4% | 0.62 | 0.34 | 1.8x | 15 | 70% |
| Donchian 채널 돌파 entryN=17, exitN=31 |
6.2% | -28.0% | 0.53 | 0.22 | 1.6x | 37 | 73% |
| Supertrend period=29, mult=5 |
2.8% | -38.5% | 0.29 | 0.07 | 1.3x | 49 | 67% |
| Parabolic SAR step=0.015, maxStep=0.16 |
1.8% | -18.7% | 0.22 | 0.10 | 1.2x | 130 | 63% |
| MACD fast=14, slow=44, signal=24 |
1.0% | -27.7% | 0.15 | 0.04 | 1.1x | 90 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=9, mult=4 |
0.5% | -14.8% | 0.10 | 0.03 | 1.0x | 36 | 45% |
| 볼린저 밴드 돌파 n=48, k=2.9 |
0.1% | -3.6% | 0.08 | 0.02 | 1.0x | 2 | 2% |
| ADX / DI 방향성 period=34, threshold=23 |
-0.5% | -12.6% | -0.12 | -0.04 | 1.0x | 10 | 5% |
| Buy and hold | 9.9% | -34.4% | 0.59 | 0.29 | 2.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 28-day EMA crosses above the 97-day EMA
- Sell — Sell when the 28-day EMA falls below the 97-day EMA