Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Morningstar ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust Morningstar ETF. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.2%, MDD -23.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.6%, drawdown -68.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.2%, MDD -23.6%, Sharpe 0.52, 74% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.2%, MDD -29.3%, exposure 85%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 45.0%p (CAGR 5.2%, MDD -23.6%, exposure 74%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=55, slow=164 |
5.2% | -23.6% | 0.52 | 0.22 | 2.8x | 17 | 74% |
| SMA 크로스오버 fast=40, slow=192 |
4.8% | -29.6% | 0.49 | 0.16 | 2.6x | 25 | 69% |
| Donchian 채널 돌파 entryN=77, exitN=77 |
4.4% | -18.9% | 0.49 | 0.23 | 2.4x | 27 | 66% |
| ROC 모멘텀 n=166, threshold=-0.1 |
5.2% | -29.3% | 0.47 | 0.18 | 2.8x | 31 | 85% |
| Supertrend period=18, mult=5 |
2.3% | -30.8% | 0.25 | 0.07 | 1.6x | 69 | 61% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
0.1% | -4.3% | 0.09 | 0.02 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=20, threshold=39 |
-0.0% | -3.7% | -0.01 | -0.00 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=15, mult=2.4 |
-0.6% | -34.0% | -0.03 | -0.02 | 0.9x | 107 | 45% |
| MACD fast=12, slow=49, signal=18 |
-1.4% | -44.0% | -0.06 | -0.03 | 0.7x | 253 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-3.6% | -65.3% | -0.24 | -0.05 | 0.5x | 213 | 60% |
| Buy and hold | 4.6% | -68.6% | 0.33 | 0.07 | 2.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 164-day EMA
- Sell — Sell when the 55-day EMA falls below the 164-day EMA