Trend-Following Backtester · Guide · backtest 한국어
etf · US
AGF U.S. Market Neutral Anti-Beta Fund backtest
10 trend-following strategies were compared on the full daily history of AGF U.S. Market Neutral Anti-Beta Fund. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -0.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.7%, drawdown -58.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -0.5%, Sharpe 0.20, 0% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.4%, MDD -12.3%, exposure 5%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 58.3%p (CAGR 0.1%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=7, threshold=0.22 |
0.1% | -0.5% | 0.20 | 0.27 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=18, k=3.3 |
0.2% | -8.1% | 0.11 | 0.03 | 1.0x | 6 | 2% |
| ADX / DI 방향성 period=20, threshold=32 |
0.4% | -12.3% | 0.11 | 0.03 | 1.1x | 12 | 5% |
| SMA 크로스오버 fast=13, slow=85 |
-0.1% | -24.7% | 0.04 | -0.00 | 1.0x | 49 | 44% |
| Donchian 채널 돌파 entryN=67, exitN=79 |
-1.3% | -27.6% | -0.06 | -0.05 | 0.8x | 22 | 47% |
| EMA 크로스오버 fast=22, slow=42 |
-1.5% | -27.4% | -0.08 | -0.05 | 0.8x | 57 | 44% |
| MACD fast=53, slow=88, signal=54 |
-1.7% | -36.8% | -0.09 | -0.05 | 0.8x | 53 | 51% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=23, mult=3.2 |
-1.4% | -26.2% | -0.15 | -0.05 | 0.8x | 52 | 20% |
| Supertrend period=27, mult=4.6 |
-3.5% | -47.7% | -0.23 | -0.07 | 0.6x | 71 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-6.4% | -64.9% | -0.51 | -0.10 | 0.4x | 118 | 48% |
| Buy and hold | -4.7% | -58.8% | -0.10 | -0.08 | 0.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 7-day return is greater than 22%
- Sell — Sell when the 7-day return drops to 22% or below