Trend-Following Backtester · Guide · backtest 한국어
etf · US
Avantis U.S. Large Cap Value ETF backtest
10 trend-following strategies were compared on the full daily history of Avantis U.S. Large Cap Value ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.7%, MDD -10.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.8%, drawdown -20.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.7%, MDD -10.7%, Sharpe 1.02, 66% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 13.1%, MDD -20.2%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 9.4%p (CAGR 11.7%, MDD -10.7%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=52, slow=87 |
11.7% | -10.7% | 1.02 | 1.09 | 1.7x | 15 | 66% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.05 |
13.1% | -20.2% | 0.82 | 0.65 | 1.9x | 3 | 100% |
| 볼린저 밴드 돌파 n=22, k=1.9 |
6.6% | -8.6% | 0.81 | 0.77 | 1.4x | 38 | 43% |
| EMA 크로스오버 fast=17, slow=191 |
7.8% | -16.6% | 0.75 | 0.47 | 1.5x | 9 | 68% |
| Donchian 채널 돌파 entryN=73, exitN=57 |
7.4% | -10.7% | 0.73 | 0.69 | 1.4x | 7 | 65% |
| Supertrend period=10, mult=3.4 |
7.1% | -12.8% | 0.72 | 0.55 | 1.4x | 28 | 61% |
| ADX / DI 방향성 period=20, threshold=25 |
2.4% | -3.5% | 0.69 | 0.68 | 1.1x | 4 | 9% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=29, mult=3.1 |
3.1% | -11.0% | 0.47 | 0.28 | 1.2x | 16 | 34% |
| MACD fast=24, slow=69, signal=17 |
4.0% | -20.0% | 0.44 | 0.20 | 1.2x | 40 | 48% |
| Parabolic SAR step=0.01, maxStep=0.04 |
2.0% | -28.5% | 0.23 | 0.07 | 1.1x | 52 | 66% |
| Buy and hold | 11.8% | -20.2% | 0.75 | 0.59 | 1.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 52-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 52-day average falls below the 87-day average