Trend-Following Backtester · Guide · backtest 한국어
etf · US
Teucrium Corn Fund ETV backtest
10 trend-following strategies were compared on the full daily history of Teucrium Corn Fund ETV. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.5%, MDD -17.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.2%, drawdown -78.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.5%, MDD -25.9%, Sharpe 0.29, 15% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 52.1%p (CAGR 1.5%, MDD -17.0%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=38, k=2.5 |
2.5% | -25.9% | 0.29 | 0.10 | 1.5x | 40 | 15% |
| ADX / DI 방향성 period=27, threshold=26 |
1.5% | -17.0% | 0.28 | 0.09 | 1.3x | 14 | 4% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=13, mult=3.8 |
2.0% | -23.4% | 0.25 | 0.09 | 1.4x | 24 | 12% |
| ROC 모멘텀 n=101, threshold=0.11 |
1.6% | -22.9% | 0.20 | 0.07 | 1.3x | 48 | 16% |
| EMA 크로스오버 fast=68, slow=151 |
0.1% | -48.3% | 0.07 | 0.00 | 1.0x | 16 | 29% |
| Donchian 채널 돌파 entryN=42, exitN=46 |
-0.1% | -51.5% | 0.07 | -0.00 | 1.0x | 42 | 43% |
| Supertrend period=13, mult=4.5 |
-0.3% | -51.3% | 0.05 | -0.01 | 0.9x | 61 | 39% |
| SMA 크로스오버 fast=9, slow=199 |
-1.2% | -57.4% | -0.02 | -0.02 | 0.8x | 33 | 28% |
| MACD fast=22, slow=26, signal=29 |
-6.0% | -73.8% | -0.33 | -0.08 | 0.4x | 165 | 52% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-7.4% | -77.8% | -0.42 | -0.09 | 0.3x | 147 | 49% |
| Buy and hold | -2.2% | -78.1% | 0.01 | -0.03 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 38-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 38-day middle average