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. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.3%, MDD -0.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.9%, drawdown -23.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.3%, MDD -0.6%, Sharpe 0.65, 1% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.8%, MDD -5.7%, exposure 18%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 22.3%p (CAGR 0.3%, 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=80, threshold=0.11 |
0.3% | -0.6% | 0.65 | 0.54 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=39, threshold=16 |
0.8% | -5.7% | 0.31 | 0.14 | 1.1x | 14 | 18% |
| 볼린저 밴드 돌파 n=13, k=2.9 |
0.2% | -2.7% | 0.17 | 0.06 | 1.0x | 6 | 3% |
| SMA 크로스오버 fast=34, slow=140 |
0.1% | -8.8% | 0.04 | 0.01 | 1.0x | 10 | 59% |
| EMA 크로스오버 fast=31, slow=100 |
-0.2% | -7.4% | -0.02 | -0.02 | 1.0x | 14 | 60% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=17, mult=2.6 |
-0.1% | -4.8% | -0.05 | -0.02 | 1.0x | 12 | 6% |
| Donchian 채널 돌파 entryN=17, exitN=76 |
-1.7% | -16.6% | -0.28 | -0.10 | 0.9x | 28 | 80% |
| Supertrend period=29, mult=3.7 |
-2.8% | -23.3% | -0.51 | -0.12 | 0.8x | 62 | 64% |
| MACD fast=17, slow=36, signal=19 |
-4.8% | -38.2% | -0.99 | -0.13 | 0.7x | 94 | 45% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-6.0% | -41.3% | -1.22 | -0.15 | 0.6x | 108 | 53% |
| Buy and hold | -0.9% | -23.0% | -0.07 | -0.04 | 0.9x | 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 80-day return is greater than 11%
- Sell — Sell when the 80-day return drops to 11% or below