Trend-Following Backtester · Guide · backtest 한국어
etf · US
Hartford Strategic Income ETF backtest
10 trend-following strategies were compared on the full daily history of Hartford Strategic Income ETF. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.5%, MDD -1.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.6%, drawdown -22.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.2%, MDD -2.5%, Sharpe 0.64, 7% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 20.0%p (CAGR 0.5%, MDD -1.5%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=29, mult=4 |
1.2% | -2.5% | 0.64 | 0.48 | 1.1x | 6 | 7% |
| 볼린저 밴드 돌파 n=17, k=3.1 |
0.5% | -1.5% | 0.47 | 0.34 | 1.0x | 2 | 2% |
| Donchian 채널 돌파 entryN=68, exitN=18 |
0.6% | -2.7% | 0.28 | 0.21 | 1.0x | 8 | 20% |
| ADX / DI 방향성 period=21, threshold=20 |
0.4% | -4.9% | 0.16 | 0.07 | 1.0x | 16 | 23% |
| ROC 모멘텀 n=108, threshold=-0.04 |
0.5% | -7.1% | 0.15 | 0.07 | 1.0x | 6 | 75% |
| SMA 크로스오버 fast=24, slow=150 |
0.1% | -5.7% | 0.06 | 0.02 | 1.0x | 6 | 45% |
| EMA 크로스오버 fast=16, slow=191 |
-0.2% | -6.1% | -0.04 | -0.03 | 1.0x | 8 | 39% |
| Supertrend period=8, mult=4.5 |
-2.1% | -11.2% | -0.60 | -0.19 | 0.9x | 36 | 46% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-3.8% | -18.9% | -1.00 | -0.20 | 0.8x | 62 | 48% |
| MACD fast=14, slow=24, signal=19 |
-4.8% | -21.9% | -1.25 | -0.22 | 0.8x | 66 | 46% |
| Buy and hold | -3.6% | -22.4% | -0.69 | -0.16 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 14-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average