Trend-Following Backtester · Guide · backtest 한국어
etf · US
iMGP DBi Managed Futures Strategy ETF backtest
10 trend-following strategies were compared on the full daily history of iMGP DBi Managed Futures Strategy ETF. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.2%, MDD -15.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.9%, drawdown -29.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.6%, MDD -3.5%, Sharpe 0.48, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.2%, MDD -15.0%, exposure 65%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 25.8%p (CAGR 4.2%, MDD -15.0%, exposure 65%).
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=14, threshold=44 |
1.6% | -3.5% | 0.48 | 0.46 | 1.1x | 6 | 4% |
| Donchian 채널 돌파 entryN=39, exitN=69 |
4.2% | -15.0% | 0.42 | 0.28 | 1.3x | 11 | 65% |
| SMA 크로스오버 fast=26, slow=185 |
3.2% | -19.6% | 0.38 | 0.16 | 1.3x | 9 | 46% |
| EMA 크로스오버 fast=20, slow=44 |
3.3% | -19.2% | 0.37 | 0.17 | 1.3x | 25 | 56% |
| 볼린저 밴드 돌파 n=48, k=1.4 |
2.9% | -17.1% | 0.35 | 0.17 | 1.2x | 34 | 43% |
| ROC 모멘텀 n=69, threshold=0.18 |
0.7% | -4.2% | 0.28 | 0.16 | 1.1x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=14, mult=1.1 |
0.7% | -27.3% | 0.12 | 0.02 | 1.0x | 58 | 46% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.5% | -20.1% | -0.00 | -0.03 | 1.0x | 55 | 57% |
| Supertrend period=23, mult=4.9 |
-0.9% | -29.9% | -0.03 | -0.03 | 0.9x | 27 | 57% |
| MACD fast=11, slow=35, signal=16 |
-4.8% | -36.0% | -0.42 | -0.13 | 0.7x | 93 | 54% |
| Buy and hold | 2.9% | -29.3% | 0.28 | 0.10 | 1.2x | 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, 14-day) is ≥ 44
- Sell — Sell when direction flips or the trend weakens (ADX < 44)