Trend-Following Backtester · Guide · backtest 한국어
etf · US
Franklin FTSE South Korea ETF backtest
10 trend-following strategies were compared on the full daily history of Franklin FTSE South Korea ETF. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.0%, MDD -20.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 8.2%, drawdown -51.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.9%, MDD -34.5%, Sharpe 0.84, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 16.8%p (CAGR 8.0%, MDD -20.9%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=46, slow=89 |
17.9% | -34.5% | 0.84 | 0.52 | 4.1x | 17 | 48% |
| ROC 모멘텀 n=105, threshold=0.14 |
13.3% | -27.3% | 0.74 | 0.49 | 2.9x | 30 | 25% |
| Donchian 채널 돌파 entryN=82, exitN=59 |
14.2% | -31.4% | 0.72 | 0.45 | 3.1x | 10 | 44% |
| EMA 크로스오버 fast=53, slow=111 |
13.7% | -34.5% | 0.69 | 0.40 | 3.0x | 11 | 46% |
| Supertrend period=4, mult=5 |
11.6% | -29.2% | 0.64 | 0.40 | 2.6x | 38 | 45% |
| 볼린저 밴드 돌파 n=12, k=2.1 |
8.0% | -20.9% | 0.63 | 0.38 | 1.9x | 78 | 23% |
| ADX / DI 방향성 period=39, threshold=15 |
9.6% | -27.1% | 0.62 | 0.36 | 2.2x | 18 | 18% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=29, mult=2.2 |
9.5% | -34.8% | 0.57 | 0.27 | 2.2x | 44 | 36% |
| MACD fast=20, slow=69, signal=21 |
2.2% | -61.5% | 0.21 | 0.04 | 1.2x | 78 | 50% |
| Parabolic SAR step=0.025, maxStep=0.3 |
-0.1% | -51.5% | 0.09 | -0.00 | 1.0x | 192 | 51% |
| Buy and hold | 8.2% | -51.2% | 0.41 | 0.16 | 2.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 46-day average price crosses above the 89-day average
- Sell — Sell (to cash) when the 46-day average falls below the 89-day average