Trend-Following Backtester · Guide · backtest 한국어
etf · US
Franklin U.S. Core Bond ETF backtest
10 trend-following strategies were compared on the full daily history of Franklin U.S. Core Bond ETF. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.2%, MDD -1.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.6%, drawdown -25.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR -0.2%, MDD -3.9%, Sharpe -0.12, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 21.2%p (CAGR -0.2%, MDD -1.5%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=26, mult=3.9 |
-0.2% | -3.9% | -0.12 | -0.05 | 1.0x | 6 | 5% |
| EMA 크로스오버 fast=76, slow=126 |
-0.7% | -12.3% | -0.23 | -0.06 | 1.0x | 10 | 35% |
| Supertrend period=16, mult=4.9 |
-0.9% | -10.5% | -0.25 | -0.09 | 0.9x | 22 | 42% |
| ROC 모멘텀 n=28, threshold=0.04 |
-0.3% | -4.2% | -0.27 | -0.07 | 1.0x | 8 | 2% |
| 볼린저 밴드 돌파 n=54, k=3.3 |
-0.4% | -5.0% | -0.32 | -0.08 | 1.0x | 4 | 4% |
| Donchian 채널 돌파 entryN=43, exitN=42 |
-1.3% | -13.4% | -0.39 | -0.10 | 0.9x | 16 | 40% |
| SMA 크로스오버 fast=59, slow=95 |
-1.5% | -13.9% | -0.43 | -0.11 | 0.9x | 18 | 39% |
| MACD fast=35, slow=44, signal=35 |
-1.7% | -14.5% | -0.43 | -0.12 | 0.9x | 32 | 45% |
| ADX / DI 방향성 period=21, threshold=35 |
-0.2% | -1.5% | -0.50 | -0.15 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-4.6% | -28.6% | -1.17 | -0.16 | 0.7x | 56 | 46% |
| Buy and hold | -2.6% | -25.0% | -0.45 | -0.10 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 26-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 26-day average