Trend-Following Backtester · Guide · backtest 한국어
etf · US
Motley Fool 100 Index ETF backtest
10 trend-following strategies were compared on the full daily history of Motley Fool 100 Index ETF. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.2%, MDD -19.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.3%, drawdown -33.2%).
Sharpe leader (same as main): Supertrend — CAGR 12.3%, MDD -23.5%, Sharpe 0.99, 60% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.3%, MDD -34.9%, exposure 84%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.9%p lower than buy and hold, while drawdown improves by 9.8%p (CAGR 14.2%, MDD -19.9%, exposure 74%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=4.6 |
12.3% | -23.5% | 0.99 | 0.53 | 2.7x | 32 | 60% |
| EMA 크로스오버 fast=7, slow=95 |
14.2% | -19.9% | 0.99 | 0.71 | 3.1x | 29 | 74% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=8, mult=2 |
10.0% | -14.4% | 0.94 | 0.70 | 2.3x | 46 | 53% |
| SMA 크로스오버 fast=15, slow=212 |
14.1% | -27.8% | 0.91 | 0.51 | 3.1x | 9 | 72% |
| Donchian 채널 돌파 entryN=18, exitN=53 |
14.3% | -34.9% | 0.90 | 0.41 | 3.1x | 21 | 84% |
| 볼린저 밴드 돌파 n=31, k=1.3 |
9.5% | -26.0% | 0.86 | 0.36 | 2.2x | 64 | 54% |
| ROC 모멘텀 n=38, threshold=-0.07 |
12.9% | -35.3% | 0.79 | 0.37 | 2.8x | 41 | 89% |
| MACD fast=24, slow=76, signal=19 |
9.0% | -33.4% | 0.78 | 0.27 | 2.1x | 62 | 52% |
| Parabolic SAR step=0.015, maxStep=0.12 |
7.4% | -27.8% | 0.59 | 0.27 | 1.8x | 144 | 64% |
| ADX / DI 방향성 period=22, threshold=25 |
1.4% | -10.1% | 0.28 | 0.14 | 1.1x | 20 | 10% |
| Buy and hold | 17.3% | -33.2% | 0.84 | 0.52 | 3.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)