Trend-Following Backtester · Guide · backtest 한국어
etf · US
ARK Autonomous Technology & Robotics ETF backtest
10 trend-following strategies were compared on the full daily history of ARK Autonomous Technology & Robotics ETF. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.1%, MDD -26.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.5%, drawdown -60.2%).
Sharpe leader (same as main): Supertrend — CAGR 16.1%, MDD -26.1%, Sharpe 0.90, 58% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 19.1%, MDD -38.6%, exposure 66%.
Return/drawdown alternative: Supertrend — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 34.1%p (CAGR 16.1%, MDD -26.1%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=2.9 |
16.1% | -26.1% | 0.90 | 0.62 | 5.9x | 109 | 58% |
| SMA 크로스오버 fast=52, slow=255 |
19.1% | -38.6% | 0.86 | 0.50 | 8.1x | 9 | 66% |
| EMA 크로스오버 fast=65, slow=211 |
15.3% | -43.3% | 0.72 | 0.35 | 5.4x | 11 | 66% |
| ADX / DI 방향성 period=29, threshold=11 |
10.4% | -35.3% | 0.67 | 0.29 | 3.2x | 112 | 47% |
| 볼린저 밴드 돌파 n=34, k=0.9 |
10.2% | -31.6% | 0.64 | 0.32 | 3.2x | 113 | 49% |
| ROC 모멘텀 n=141, threshold=0.09 |
10.9% | -35.6% | 0.64 | 0.31 | 3.4x | 64 | 46% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=29, mult=0.8 |
9.5% | -43.8% | 0.60 | 0.22 | 3.0x | 158 | 52% |
| Donchian 채널 돌파 entryN=20, exitN=56 |
11.4% | -56.1% | 0.59 | 0.20 | 3.6x | 39 | 77% |
| Parabolic SAR step=0.015, maxStep=0.14 |
9.2% | -48.2% | 0.55 | 0.19 | 2.9x | 206 | 56% |
| MACD fast=22, slow=41, signal=16 |
8.5% | -40.4% | 0.53 | 0.21 | 2.6x | 131 | 51% |
| Buy and hold | 16.5% | -60.2% | 0.67 | 0.27 | 6.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 2.9× band
- Sell — Sell when price drops below the trend line (flips down)