Trend-Following Backtester · Guide · backtest 한국어
etf · NZ
Smart US 500 ETF backtest
10 trend-following strategies were compared on the full daily history of Smart US 500 ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.5%, MDD -17.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.9%, drawdown -26.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.5%, MDD -17.6%, Sharpe 0.89, 82% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 12.4%, MDD -24.8%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 9.3%p (CAGR 11.5%, MDD -17.6%, exposure 82%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=17, exitN=47 |
11.5% | -17.6% | 0.89 | 0.65 | 3.3x | 27 | 82% |
| ROC 모멘텀 Hold-like · Exposure 100% n=7, threshold=-0.12 |
12.4% | -24.8% | 0.78 | 0.50 | 3.6x | 5 | 100% |
| Supertrend period=21, mult=4.7 |
8.6% | -18.4% | 0.75 | 0.47 | 2.5x | 53 | 69% |
| SMA 크로스오버 fast=9, slow=75 |
8.7% | -18.8% | 0.74 | 0.46 | 2.5x | 45 | 71% |
| EMA 크로스오버 fast=30, slow=36 |
8.4% | -22.3% | 0.71 | 0.37 | 2.4x | 37 | 73% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=2.5 |
3.1% | -18.5% | 0.36 | 0.17 | 1.4x | 62 | 52% |
| 볼린저 밴드 돌파 n=58, k=1.8 |
2.6% | -25.7% | 0.32 | 0.10 | 1.3x | 52 | 49% |
| Parabolic SAR step=0.005, maxStep=0.14 |
1.9% | -18.8% | 0.22 | 0.10 | 1.2x | 98 | 64% |
| ADX / DI 방향성 period=26, threshold=28 |
0.5% | -6.4% | 0.16 | 0.08 | 1.1x | 10 | 7% |
| MACD fast=19, slow=34, signal=13 |
-1.5% | -29.0% | -0.09 | -0.05 | 0.8x | 156 | 49% |
| Buy and hold | 12.9% | -26.9% | 0.78 | 0.48 | 3.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 17 days
- Sell — Sell when price breaks below the lowest low of the last 47 days