Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Health Care AlphaDEX backtest
10 trend-following strategies were compared on the full daily history of First Trust Health Care AlphaDEX. 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 10.1%, drawdown -43.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.1%, MDD -29.1%, Sharpe 0.65, 57% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.8%, MDD -40.3%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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=117, exitN=67 |
7.1% | -29.1% | 0.65 | 0.25 | 3.8x | 27 | 57% |
| ROC 모멘텀 Hold-like · Exposure 97% n=26, threshold=-0.12 |
8.8% | -40.3% | 0.58 | 0.22 | 5.1x | 29 | 97% |
| SMA 크로스오버 fast=59, slow=107 |
7.3% | -38.5% | 0.56 | 0.19 | 3.9x | 41 | 64% |
| Supertrend period=29, mult=4.9 |
6.1% | -31.5% | 0.55 | 0.19 | 3.1x | 75 | 64% |
| EMA 크로스오버 fast=9, slow=198 |
6.4% | -33.2% | 0.54 | 0.19 | 3.3x | 51 | 68% |
| 볼린저 밴드 돌파 n=59, k=1.2 |
4.9% | -18.9% | 0.50 | 0.26 | 2.5x | 97 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=22, mult=4 |
2.9% | -16.9% | 0.38 | 0.17 | 1.7x | 51 | 34% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.1% | -46.8% | 0.05 | -0.00 | 1.0x | 187 | 63% |
| ADX / DI 방향성 period=32, threshold=14 |
-0.6% | -29.0% | -0.03 | -0.02 | 0.9x | 111 | 27% |
| MACD fast=9, slow=55, signal=22 |
-1.5% | -35.3% | -0.07 | -0.04 | 0.7x | 257 | 53% |
| Buy and hold | 10.1% | -43.7% | 0.60 | 0.23 | 6.3x | 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 117 days
- Sell — Sell when price breaks below the lowest low of the last 67 days