Trend-Following Backtester · Guide · backtest 한국어
etf · US
Distillate U.S. Fundamental Stability & Value ETF backtest
10 trend-following strategies were compared on the full daily history of Distillate U.S. Fundamental Stability & Value ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.6%, MDD -19.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.2%, drawdown -33.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.6%, MDD -19.8%, Sharpe 1.05, 87% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 14.6%, MDD -19.8%, exposure 87%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=16, exitN=62 |
14.6% | -19.8% | 1.05 | 0.74 | 2.9x | 15 | 87% |
| Supertrend period=16, mult=4.2 |
7.6% | -14.6% | 0.71 | 0.52 | 1.8x | 37 | 64% |
| EMA 크로스오버 fast=14, slow=151 |
8.3% | -22.7% | 0.69 | 0.37 | 1.9x | 21 | 78% |
| SMA 크로스오버 fast=17, slow=84 |
7.4% | -17.2% | 0.66 | 0.43 | 1.8x | 33 | 69% |
| ROC 모멘텀 n=89, threshold=-0.03 |
7.3% | -23.5% | 0.59 | 0.31 | 1.7x | 45 | 82% |
| Parabolic SAR step=0.005, maxStep=0.28 |
4.3% | -19.4% | 0.41 | 0.22 | 1.4x | 77 | 62% |
| 볼린저 밴드 돌파 n=50, k=2.9 |
1.3% | -9.5% | 0.36 | 0.14 | 1.1x | 7 | 8% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=15, mult=1.1 |
2.4% | -22.6% | 0.27 | 0.11 | 1.2x | 81 | 59% |
| MACD fast=16, slow=27, signal=21 |
2.2% | -25.8% | 0.25 | 0.08 | 1.2x | 99 | 50% |
| ADX / DI 방향성 period=24, threshold=26 |
-0.8% | -15.6% | -0.22 | -0.05 | 0.9x | 9 | 8% |
| Buy and hold | 14.2% | -33.1% | 0.78 | 0.43 | 2.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 16 days
- Sell — Sell when price breaks below the lowest low of the last 62 days