Trend-Following Backtester · Guide · backtest 한국어
etf · US
Franklin Short Duration U.S. Government ETF backtest
10 trend-following strategies were compared on the full daily history of Franklin Short Duration U.S. Government ETF. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.1%, MDD -1.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.9%, drawdown -11.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR -0.1%, MDD -2.5%, Sharpe -0.13, 29% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR -0.1%, MDD -1.3%, exposure 0%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 9.3%p (CAGR -0.1%, MDD -1.3%, exposure 0%).
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=58, slow=159 |
-0.1% | -2.5% | -0.13 | -0.06 | 1.0x | 6 | 29% |
| ADX / DI 방향성 period=45, threshold=36 |
-0.1% | -2.1% | -0.13 | -0.06 | 1.0x | 6 | 16% |
| Donchian 채널 돌파 entryN=86, exitN=77 |
-0.3% | -4.7% | -0.30 | -0.07 | 1.0x | 6 | 23% |
| SMA 크로스오버 fast=34, slow=218 |
-0.4% | -4.8% | -0.34 | -0.08 | 1.0x | 10 | 29% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=18, mult=4 |
-0.1% | -1.3% | -0.47 | -0.08 | 1.0x | 2 | 0% |
| ROC 모멘텀 Hold-like · Exposure 98% n=74, threshold=-0.03 |
-1.0% | -13.6% | -0.55 | -0.08 | 0.9x | 3 | 98% |
| 볼린저 밴드 돌파 n=40, k=3.4 |
-0.4% | -4.7% | -0.62 | -0.08 | 1.0x | 6 | 1% |
| Supertrend period=27, mult=5 |
-1.6% | -19.1% | -1.24 | -0.09 | 0.8x | 30 | 28% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-3.0% | -32.2% | -1.91 | -0.09 | 0.7x | 70 | 30% |
| MACD fast=31, slow=53, signal=28 |
-6.1% | -55.5% | -2.88 | -0.11 | 0.4x | 133 | 49% |
| Buy and hold | -0.9% | -11.8% | -0.46 | -0.07 | 0.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 159-day EMA
- Sell — Sell when the 58-day EMA falls below the 159-day EMA