Trend-Following Backtester · Guide · backtest 한국어
etf · US
ARK Space & Defense Innovation ETF backtest
10 trend-following strategies were compared on the full daily history of ARK Space & Defense Innovation ETF. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.2%, MDD -25.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.9%, drawdown -43.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.6%, MDD -25.5%, Sharpe 0.73, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 13.2%, MDD -25.5%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=178 |
14.6% | -25.5% | 0.73 | 0.57 | 2.1x | 3 | 59% |
| EMA 크로스오버 fast=40, slow=171 |
13.2% | -25.5% | 0.68 | 0.52 | 1.9x | 3 | 55% |
| ROC 모멘텀 n=178, threshold=-0.08 |
13.7% | -25.5% | 0.68 | 0.54 | 2.0x | 15 | 64% |
| MACD fast=18, slow=29, signal=22 |
10.8% | -32.9% | 0.65 | 0.33 | 1.7x | 52 | 47% |
| Supertrend period=11, mult=2.9 |
10.4% | -32.1% | 0.62 | 0.32 | 1.7x | 40 | 51% |
| Parabolic SAR step=0.005, maxStep=0.08 |
9.4% | -32.2% | 0.56 | 0.29 | 1.6x | 48 | 52% |
| 볼린저 밴드 돌파 n=37, k=1 |
7.1% | -24.7% | 0.49 | 0.29 | 1.4x | 42 | 41% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=19, mult=2.1 |
4.0% | -13.5% | 0.43 | 0.30 | 1.2x | 28 | 16% |
| Donchian 채널 돌파 entryN=79, exitN=71 |
6.0% | -22.2% | 0.39 | 0.27 | 1.4x | 8 | 54% |
| ADX / DI 방향성 period=17, threshold=30 |
2.3% | -11.7% | 0.35 | 0.20 | 1.1x | 8 | 6% |
| Buy and hold | 7.9% | -43.6% | 0.41 | 0.18 | 1.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 58-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 58-day average falls below the 178-day average