Trend-Following Backtester · Guide · backtest 한국어
etf · TH
BTS Rail Mass Transit Growth Infrastructure Fund backtest
10 trend-following strategies were compared on the full daily history of BTS Rail Mass Transit Growth Infrastructure Fund. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.7%, MDD -5.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -10.7%, drawdown -81.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.7%, MDD -5.7%, Sharpe 0.26, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.3%p higher than buy and hold, while drawdown improves by 75.5%p (CAGR 0.7%, MDD -5.7%, exposure 2%).
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=35, threshold=35 |
0.7% | -5.7% | 0.26 | 0.12 | 1.1x | 6 | 2% |
| EMA 크로스오버 fast=40, slow=167 |
-0.4% | -25.5% | -0.00 | -0.01 | 1.0x | 10 | 29% |
| SMA 크로스오버 fast=55, slow=152 |
-0.9% | -30.2% | -0.07 | -0.03 | 0.9x | 20 | 29% |
| ROC 모멘텀 n=102, threshold=0.11 |
-2.3% | -39.5% | -0.16 | -0.06 | 0.7x | 14 | 5% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-5.5% | -61.3% | -0.16 | -0.09 | 0.5x | 66 | 39% |
| Supertrend period=19, mult=4.5 |
-5.4% | -57.1% | -0.17 | -0.09 | 0.5x | 32 | 40% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=18, mult=1.7 |
-5.9% | -60.2% | -0.23 | -0.10 | 0.4x | 62 | 21% |
| Donchian 채널 돌파 entryN=90, exitN=40 |
-3.8% | -49.7% | -0.25 | -0.08 | 0.6x | 16 | 22% |
| 볼린저 밴드 돌파 n=17, k=3.4 |
-3.3% | -35.9% | -0.28 | -0.09 | 0.6x | 2 | 0% |
| MACD fast=17, slow=22, signal=14 |
-14.5% | -87.8% | -0.89 | -0.17 | 0.1x | 193 | 51% |
| Buy and hold | -10.7% | -81.2% | -0.32 | -0.13 | 0.2x | 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, 35-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)