Trend-Following Backtester · Guide · backtest 한국어
etf · US
Franklin High Yield Corporate ETF backtest
10 trend-following strategies were compared on the full daily history of Franklin High Yield Corporate ETF. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.8%, MDD -0.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.6%, drawdown -23.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.8%, MDD -0.6%, Sharpe 0.82, 1% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 22.4%p (CAGR 0.8%, MDD -0.6%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=40, threshold=0.09 |
0.8% | -0.6% | 0.82 | 1.36 | 1.1x | 4 | 1% |
| ADX / DI 방향성 period=36, threshold=16 |
0.6% | -5.5% | 0.23 | 0.11 | 1.0x | 18 | 19% |
| SMA 크로스오버 fast=23, slow=149 |
0.0% | -8.8% | 0.03 | 0.00 | 1.0x | 10 | 61% |
| EMA 크로스오버 fast=36, slow=174 |
-0.2% | -8.1% | -0.04 | -0.03 | 1.0x | 12 | 57% |
| Donchian 채널 돌파 entryN=17, exitN=135 |
-0.4% | -13.9% | -0.04 | -0.03 | 1.0x | 17 | 86% |
| 볼린저 밴드 돌파 n=25, k=3.2 |
-0.1% | -0.8% | -0.27 | -0.12 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=23, mult=3.3 |
-0.6% | -6.6% | -0.31 | -0.08 | 1.0x | 14 | 12% |
| Supertrend period=29, mult=3.7 |
-2.7% | -22.9% | -0.49 | -0.12 | 0.8x | 61 | 65% |
| MACD fast=10, slow=52, signal=29 |
-4.4% | -37.1% | -0.93 | -0.12 | 0.7x | 88 | 46% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-5.9% | -40.3% | -1.20 | -0.15 | 0.6x | 106 | 53% |
| Buy and hold | -0.6% | -23.0% | -0.03 | -0.02 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 40-day return is greater than 9%
- Sell — Sell when the 40-day return drops to 9% or below