Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Amex Biotech Index Fund backtest
10 trend-following strategies were compared on the full daily history of First Trust Amex Biotech Index Fund. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.7%, drawdown -40.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.7%, MDD -45.1%, Sharpe 0.54, 84% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=20, exitN=74 |
9.7% | -45.1% | 0.54 | 0.22 | 6.6x | 47 | 84% |
| EMA 크로스오버 fast=19, slow=172 |
7.9% | -42.1% | 0.50 | 0.19 | 4.7x | 47 | 67% |
| SMA 크로스오버 fast=33, slow=186 |
8.0% | -46.2% | 0.49 | 0.17 | 4.8x | 37 | 66% |
| Supertrend period=35, mult=3.7 |
6.8% | -43.8% | 0.46 | 0.16 | 3.8x | 111 | 64% |
| Parabolic SAR step=0.02, maxStep=0.02 |
6.2% | -45.5% | 0.42 | 0.14 | 3.4x | 121 | 66% |
| ROC 모멘텀 n=121, threshold=0.01 |
5.9% | -54.3% | 0.40 | 0.11 | 3.2x | 169 | 64% |
| 볼린저 밴드 돌파 n=39, k=2.6 |
3.3% | -27.4% | 0.37 | 0.12 | 1.9x | 61 | 20% |
| MACD fast=45, slow=60, signal=33 |
4.9% | -32.4% | 0.37 | 0.15 | 2.6x | 118 | 53% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=25, mult=1.9 |
3.1% | -50.7% | 0.28 | 0.06 | 1.9x | 117 | 49% |
| ADX / DI 방향성 period=19, threshold=20 |
-0.3% | -44.7% | 0.03 | -0.01 | 1.0x | 123 | 24% |
| Buy and hold | 13.7% | -40.5% | 0.63 | 0.34 | 13.6x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 74 days