Trend-Following Backtester · Guide · backtest 한국어
etf · US
Inspire 100 ETF backtest
10 trend-following strategies were compared on the full daily history of Inspire 100 ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -41.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.8%, MDD -26.9%, Sharpe 0.53, 67% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.2%, MDD -47.1%, exposure 95%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=13, slow=158 |
6.8% | -26.9% | 0.53 | 0.25 | 1.8x | 17 | 67% |
| ROC 모멘텀 Hold-like · Exposure 95% n=11, threshold=-0.07 |
8.2% | -47.1% | 0.52 | 0.18 | 2.0x | 37 | 95% |
| SMA 크로스오버 fast=9, slow=180 |
6.7% | -27.7% | 0.52 | 0.24 | 1.8x | 21 | 68% |
| Donchian 채널 돌파 entryN=31, exitN=66 |
6.3% | -44.2% | 0.46 | 0.14 | 1.7x | 15 | 80% |
| Supertrend period=19, mult=4.9 |
3.9% | -18.8% | 0.38 | 0.21 | 1.4x | 37 | 61% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=13, mult=1.6 |
2.5% | -18.1% | 0.28 | 0.14 | 1.2x | 66 | 56% |
| Parabolic SAR step=0.01, maxStep=0.14 |
1.3% | -35.2% | 0.17 | 0.04 | 1.1x | 126 | 61% |
| 볼린저 밴드 돌파 n=44, k=1.3 |
1.1% | -23.7% | 0.15 | 0.04 | 1.1x | 62 | 53% |
| MACD fast=14, slow=24, signal=18 |
0.2% | -23.7% | 0.08 | 0.01 | 1.0x | 130 | 54% |
| ADX / DI 방향성 period=36, threshold=28 |
-0.1% | -7.4% | -0.02 | -0.01 | 1.0x | 2 | 2% |
| Buy and hold | 9.4% | -41.7% | 0.52 | 0.22 | 2.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 13-day EMA crosses above the 158-day EMA
- Sell — Sell when the 13-day EMA falls below the 158-day EMA