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. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.0%, MDD -2.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.6%, drawdown -58.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -14.1%, Sharpe 0.07, 7% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 44.7%p (CAGR -0.0%, MDD -2.6%, 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=22, threshold=29 |
0.2% | -14.1% | 0.07 | 0.01 | 1.0x | 18 | 7% |
| SMA 크로스오버 fast=13, slow=89 |
-0.4% | -26.6% | 0.02 | -0.01 | 0.9x | 42 | 43% |
| ROC 모멘텀 n=7, threshold=0.09 |
-0.0% | -2.6% | -0.00 | -0.00 | 1.0x | 10 | 0% |
| EMA 크로스오버 fast=18, slow=309 |
-0.8% | -31.4% | -0.01 | -0.02 | 0.9x | 20 | 40% |
| Donchian 채널 돌파 entryN=63, exitN=31 |
-1.5% | -33.0% | -0.10 | -0.04 | 0.8x | 36 | 35% |
| 볼린저 밴드 돌파 n=55, k=2.4 |
-1.3% | -30.4% | -0.12 | -0.04 | 0.8x | 44 | 23% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=25, mult=3.2 |
-1.3% | -25.5% | -0.14 | -0.05 | 0.8x | 50 | 20% |
| Supertrend period=22, mult=3.4 |
-4.4% | -54.8% | -0.34 | -0.08 | 0.5x | 107 | 45% |
| MACD fast=21, slow=47, signal=14 |
-6.2% | -67.5% | -0.47 | -0.09 | 0.4x | 157 | 52% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-6.2% | -64.9% | -0.50 | -0.10 | 0.4x | 117 | 48% |
| Buy and hold | -4.6% | -58.8% | -0.10 | -0.08 | 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, 22-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)