Trend-Following Backtester · Guide · backtest 한국어
etf · US
Alerian Energy Infrastructure ETF backtest
10 trend-following strategies were compared on the full daily history of Alerian Energy Infrastructure ETF. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.7%, MDD -8.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.0%, drawdown -74.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.7%, MDD -8.6%, Sharpe 0.52, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.9%, MDD -28.9%, exposure 75%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 65.7%p (CAGR 2.7%, MDD -8.6%, exposure 7%).
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=51, k=3 |
2.7% | -8.6% | 0.52 | 0.31 | 1.4x | 4 | 7% |
| Donchian 채널 돌파 entryN=30, exitN=88 |
6.9% | -28.9% | 0.48 | 0.24 | 2.4x | 23 | 75% |
| ADX / DI 방향성 period=15, threshold=42 |
0.8% | -3.9% | 0.46 | 0.21 | 1.1x | 4 | 2% |
| SMA 크로스오버 fast=59, slow=162 |
4.7% | -29.8% | 0.41 | 0.16 | 1.8x | 21 | 52% |
| Supertrend period=24, mult=4 |
4.0% | -34.0% | 0.34 | 0.12 | 1.7x | 72 | 58% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=23, mult=2.5 |
2.8% | -31.3% | 0.30 | 0.09 | 1.4x | 50 | 38% |
| EMA 크로스오버 fast=57, slow=65 |
2.7% | -38.1% | 0.26 | 0.07 | 1.4x | 31 | 59% |
| ROC 모멘텀 n=89, threshold=0.01 |
1.4% | -40.6% | 0.17 | 0.03 | 1.2x | 136 | 54% |
| Parabolic SAR step=0.015, maxStep=0.14 |
0.2% | -45.1% | 0.09 | 0.00 | 1.0x | 220 | 54% |
| MACD fast=19, slow=72, signal=10 |
-2.6% | -47.0% | -0.11 | -0.05 | 0.7x | 164 | 50% |
| Buy and hold | 3.0% | -74.3% | 0.24 | 0.04 | 1.5x | 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 51-day average (3× volatility)
- Sell — Sell when the close falls back to the 51-day middle average