Trend-Following Backtester · Guide · backtest 한국어
etf · US
Pacer US Cash Cows 100 ETF backtest
10 trend-following strategies were compared on the full daily history of Pacer US Cash Cows 100 ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.9%, MDD -26.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.8%, drawdown -39.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.9%, MDD -26.8%, Sharpe 0.72, 92% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 12.8%p (CAGR 10.9%, MDD -26.8%, exposure 92%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=17, exitN=114 |
10.9% | -26.8% | 0.72 | 0.41 | 2.7x | 11 | 92% |
| ROC 모멘텀 Hold-like · Exposure 99% n=5, threshold=-0.09 |
10.1% | -33.7% | 0.62 | 0.30 | 2.5x | 17 | 99% |
| SMA 크로스오버 fast=34, slow=73 |
7.0% | -27.0% | 0.57 | 0.26 | 1.9x | 29 | 69% |
| EMA 크로스오버 fast=35, slow=130 |
5.8% | -28.7% | 0.49 | 0.20 | 1.7x | 17 | 73% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=25, mult=3.5 |
0.4% | -2.5% | 0.35 | 0.18 | 1.0x | 2 | 1% |
| Supertrend period=15, mult=5 |
2.6% | -25.3% | 0.27 | 0.10 | 1.3x | 37 | 62% |
| ADX / DI 방향성 period=32, threshold=21 |
1.0% | -14.0% | 0.26 | 0.07 | 1.1x | 12 | 6% |
| 볼린저 밴드 돌파 n=22, k=3.1 |
0.5% | -6.6% | 0.19 | 0.07 | 1.0x | 6 | 3% |
| Parabolic SAR step=0.005, maxStep=0.18 |
1.0% | -25.0% | 0.14 | 0.04 | 1.1x | 91 | 62% |
| MACD fast=15, slow=48, signal=8 |
-1.2% | -30.1% | -0.03 | -0.04 | 0.9x | 167 | 50% |
| Buy and hold | 10.8% | -39.6% | 0.62 | 0.27 | 2.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 17 days
- Sell — Sell when price breaks below the lowest low of the last 114 days