Trend-Following Backtester · Guide · backtest 한국어
etf · US
Pacer US Small Cap Cash Cows ETF backtest
10 trend-following strategies were compared on the full daily history of Pacer US Small Cap Cash Cows ETF. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.4%, MDD -23.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.5%, drawdown -48.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.6%, MDD -29.7%, Sharpe 0.64, 58% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 10.0%, MDD -39.8%, exposure 89%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 19.1%p (CAGR 9.4%, MDD -23.1%, exposure 60%).
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=33, slow=163 |
9.6% | -29.7% | 0.64 | 0.32 | 2.3x | 13 | 58% |
| EMA 크로스오버 fast=40, slow=118 |
9.4% | -23.1% | 0.63 | 0.41 | 2.3x | 15 | 60% |
| Donchian 채널 돌파 entryN=109, exitN=51 |
8.1% | -23.6% | 0.62 | 0.34 | 2.1x | 13 | 49% |
| Supertrend period=25, mult=5 |
9.8% | -33.5% | 0.62 | 0.29 | 2.4x | 31 | 64% |
| 볼린저 밴드 돌파 n=77, k=2.8 |
5.7% | -14.7% | 0.62 | 0.39 | 1.7x | 13 | 25% |
| ROC 모멘텀 n=55, threshold=-0.11 |
10.0% | -39.8% | 0.56 | 0.25 | 2.4x | 33 | 89% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=14, mult=1.4 |
4.4% | -31.8% | 0.36 | 0.14 | 1.5x | 63 | 52% |
| ADX / DI 방향성 period=24, threshold=24 |
1.5% | -14.9% | 0.25 | 0.10 | 1.1x | 21 | 8% |
| Parabolic SAR step=0.01, maxStep=0.34 |
1.3% | -45.1% | 0.16 | 0.03 | 1.1x | 131 | 57% |
| MACD fast=17, slow=49, signal=17 |
-1.5% | -45.9% | -0.00 | -0.03 | 0.9x | 109 | 49% |
| Buy and hold | 9.5% | -48.8% | 0.48 | 0.19 | 2.3x | 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 33-day average price crosses above the 163-day average
- Sell — Sell (to cash) when the 33-day average falls below the 163-day average