Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Active Factor Mid Cap ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust Active Factor Mid Cap ETF. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.0%, MDD -15.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.1%, drawdown -42.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.9%, MDD -17.5%, Sharpe 0.89, 69% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.0%, MDD -15.1%, exposure 71%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 12.0%, MDD -15.1%, exposure 71%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=38, slow=78 |
11.9% | -17.5% | 0.89 | 0.68 | 2.1x | 9 | 69% |
| Donchian 채널 돌파 entryN=56, exitN=77 |
12.0% | -15.1% | 0.87 | 0.79 | 2.1x | 7 | 71% |
| SMA 크로스오버 fast=36, slow=123 |
11.0% | -16.9% | 0.83 | 0.65 | 2.0x | 9 | 69% |
| ROC 모멘텀 n=110, threshold=-0.03 |
9.0% | -30.0% | 0.67 | 0.30 | 1.8x | 33 | 75% |
| ADX / DI 방향성 period=27, threshold=20 |
2.7% | -7.9% | 0.51 | 0.34 | 1.2x | 6 | 9% |
| 볼린저 밴드 돌파 n=56, k=0.7 |
3.4% | -30.3% | 0.33 | 0.11 | 1.3x | 49 | 56% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=16, mult=1.6 |
2.2% | -25.3% | 0.24 | 0.09 | 1.2x | 55 | 56% |
| Supertrend period=28, mult=3.8 |
1.1% | -44.5% | 0.15 | 0.03 | 1.1x | 71 | 66% |
| Parabolic SAR step=0.01, maxStep=0.12 |
1.0% | -35.4% | 0.14 | 0.03 | 1.1x | 88 | 61% |
| MACD fast=7, slow=46, signal=13 |
-1.4% | -36.6% | -0.02 | -0.04 | 0.9x | 130 | 49% |
| Buy and hold | 11.1% | -42.1% | 0.58 | 0.26 | 2.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 38-day EMA crosses above the 78-day EMA
- Sell — Sell when the 38-day EMA falls below the 78-day EMA