Trend-Following Backtester · Guide · backtest 한국어
etf · US
Quadratic Deflation ETF backtest
10 trend-following strategies were compared on the full daily history of Quadratic Deflation ETF. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -0.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.9%, drawdown -56.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -0.5%, Sharpe 0.53, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.3%p higher than buy and hold, while drawdown improves by 56.3%p (CAGR 0.4%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=35, threshold=18 |
0.4% | -0.5% | 0.53 | 0.73 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=200, threshold=0.08 |
-0.0% | -1.1% | -0.06 | -0.04 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=64, slow=194 |
-0.7% | -8.1% | -0.18 | -0.09 | 1.0x | 4 | 11% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=14, mult=2.9 |
-1.6% | -13.6% | -0.39 | -0.12 | 0.9x | 12 | 10% |
| 볼린저 밴드 돌파 n=44, k=2.8 |
-0.8% | -5.6% | -0.41 | -0.14 | 1.0x | 4 | 3% |
| EMA 크로스오버 fast=6, slow=219 |
-0.5% | -3.7% | -0.45 | -0.13 | 1.0x | 2 | 2% |
| Donchian 채널 돌파 entryN=127, exitN=39 |
-0.9% | -5.7% | -0.58 | -0.16 | 1.0x | 2 | 3% |
| Supertrend period=15, mult=5 |
-4.3% | -31.2% | -0.61 | -0.14 | 0.8x | 18 | 32% |
| MACD fast=21, slow=23, signal=19 |
-6.9% | -34.0% | -0.71 | -0.20 | 0.7x | 49 | 51% |
| Parabolic SAR step=0.015, maxStep=0.06 |
-7.5% | -38.0% | -0.84 | -0.20 | 0.7x | 62 | 40% |
| Buy and hold | -13.9% | -56.8% | -0.73 | -0.24 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 35-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)