Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust North American Energy Infrastructure Fund backtest
10 trend-following strategies were compared on the full daily history of First Trust North American Energy Infrastructure Fund. 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 7.0%, MDD -23.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.8%, drawdown -48.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.0%, MDD -23.8%, Sharpe 0.60, 88% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 24.2%p (CAGR 7.0%, MDD -23.8%, exposure 88%).
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=44, exitN=158 |
7.0% | -23.8% | 0.60 | 0.30 | 2.6x | 9 | 88% |
| SMA 크로스오버 fast=89, slow=122 |
5.3% | -24.8% | 0.55 | 0.21 | 2.1x | 41 | 60% |
| ROC 모멘텀 n=115, threshold=-0.07 |
5.4% | -32.6% | 0.49 | 0.17 | 2.1x | 35 | 85% |
| 볼린저 밴드 돌파 n=25, k=2.6 |
1.7% | -9.6% | 0.41 | 0.18 | 1.3x | 30 | 14% |
| EMA 크로스오버 fast=48, slow=255 |
3.7% | -31.3% | 0.37 | 0.12 | 1.7x | 11 | 71% |
| ADX / DI 방향성 period=32, threshold=25 |
0.5% | -12.6% | 0.17 | 0.04 | 1.1x | 14 | 8% |
| Supertrend period=23, mult=3.9 |
0.7% | -31.1% | 0.12 | 0.02 | 1.1x | 73 | 67% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=12, mult=3.8 |
0.3% | -25.3% | 0.08 | 0.01 | 1.0x | 30 | 22% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.4% | -44.2% | -0.18 | -0.05 | 0.7x | 133 | 60% |
| MACD fast=19, slow=47, signal=13 |
-4.3% | -53.4% | -0.38 | -0.08 | 0.5x | 181 | 50% |
| Buy and hold | 5.8% | -48.0% | 0.42 | 0.12 | 2.2x | 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 44 days
- Sell — Sell when price breaks below the lowest low of the last 158 days