Trend-Following Backtester · Guide · backtest 한국어
etf · US
Franklin International Low Volatility High Dividend Index ETF backtest
10 trend-following strategies were compared on the full daily history of Franklin International Low Volatility High Dividend Index ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.4%, drawdown -35.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.0%, MDD -19.0%, Sharpe 0.64, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 97% n=31, threshold=-0.11 |
7.0% | -19.0% | 0.64 | 0.37 | 2.0x | 3 | 97% |
| EMA 크로스오버 fast=54, slow=163 |
3.8% | -19.7% | 0.46 | 0.19 | 1.5x | 11 | 66% |
| SMA 크로스오버 fast=48, slow=177 |
3.5% | -30.7% | 0.40 | 0.11 | 1.4x | 13 | 70% |
| Donchian 채널 돌파 entryN=93, exitN=29 |
2.0% | -16.4% | 0.36 | 0.12 | 1.2x | 23 | 39% |
| 볼린저 밴드 돌파 n=47, k=2.5 |
1.5% | -13.0% | 0.31 | 0.11 | 1.2x | 21 | 24% |
| ADX / DI 방향성 period=39, threshold=20 |
0.6% | -5.9% | 0.25 | 0.11 | 1.1x | 6 | 7% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=23, mult=4 |
0.8% | -10.1% | 0.21 | 0.07 | 1.1x | 17 | 18% |
| Supertrend period=29, mult=3.5 |
-1.0% | -33.7% | -0.05 | -0.03 | 0.9x | 73 | 66% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-1.2% | -30.6% | -0.09 | -0.04 | 0.9x | 87 | 58% |
| MACD fast=11, slow=32, signal=14 |
-3.3% | -39.4% | -0.34 | -0.08 | 0.7x | 165 | 52% |
| Buy and hold | 5.4% | -35.9% | 0.44 | 0.15 | 1.7x | 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 31-day return is greater than -11%
- Sell — Sell when the 31-day return drops to -11% or below