Trend-Following Backtester · Guide · backtest 한국어
etf · US
ARK Innovation ETF backtest
10 trend-following strategies were compared on the full daily history of ARK Innovation ETF. 3 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 11.1%, MDD -23.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.2%, drawdown -81.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.1%, MDD -23.1%, Sharpe 0.67, 33% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 12.2%, MDD -48.1%, exposure 59%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 57.9%p (CAGR 11.1%, MDD -23.1%, exposure 33%).
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=33, threshold=14 |
11.1% | -23.1% | 0.67 | 0.48 | 3.4x | 68 | 33% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=23, mult=2.6 |
11.4% | -33.4% | 0.66 | 0.34 | 3.6x | 50 | 41% |
| Supertrend period=22, mult=3.6 |
12.2% | -54.9% | 0.60 | 0.22 | 3.9x | 80 | 57% |
| EMA 크로스오버 fast=18, slow=23 |
12.2% | -48.1% | 0.60 | 0.25 | 3.9x | 74 | 59% |
| 볼린저 밴드 돌파 n=54, k=1.2 |
10.7% | -37.7% | 0.59 | 0.28 | 3.3x | 64 | 48% |
| SMA 크로스오버 fast=53, slow=204 |
10.9% | -56.7% | 0.52 | 0.19 | 3.4x | 18 | 56% |
| Donchian 채널 돌파 entryN=101, exitN=25 |
7.6% | -42.1% | 0.50 | 0.18 | 2.4x | 26 | 34% |
| ROC 모멘텀 n=131, threshold=0.06 |
7.7% | -54.7% | 0.43 | 0.14 | 2.4x | 78 | 50% |
| Parabolic SAR step=0.02, maxStep=0.14 |
3.9% | -64.4% | 0.28 | 0.06 | 1.6x | 240 | 58% |
| MACD fast=19, slow=47, signal=12 |
-0.4% | -67.9% | 0.11 | -0.01 | 1.0x | 156 | 53% |
| Buy and hold | 11.2% | -81.1% | 0.47 | 0.14 | 3.5x | 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, 33-day) is ≥ 14
- Sell — Sell when direction flips or the trend weakens (ADX < 14)