Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Energy AlphaDEX Fund backtest
10 trend-following strategies were compared on the full daily history of First Trust Energy AlphaDEX Fund. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.4%, MDD -41.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.9%, drawdown -88.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -41.3%, Sharpe 0.41, 54% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.4%, MDD -42.5%, exposure 57%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 47.3%p (CAGR 6.4%, MDD -41.3%, exposure 54%).
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=51, slow=217 |
6.4% | -41.3% | 0.41 | 0.16 | 3.3x | 21 | 54% |
| Donchian 채널 돌파 entryN=102, exitN=107 |
6.4% | -42.5% | 0.40 | 0.15 | 3.3x | 19 | 57% |
| Supertrend period=21, mult=4.3 |
5.7% | -45.7% | 0.37 | 0.12 | 2.9x | 85 | 52% |
| EMA 크로스오버 fast=31, slow=207 |
4.3% | -43.9% | 0.32 | 0.10 | 2.3x | 29 | 50% |
| ROC 모멘텀 n=139, threshold=0.03 |
2.8% | -47.4% | 0.24 | 0.06 | 1.7x | 147 | 51% |
| ADX / DI 방향성 period=39, threshold=22 |
0.5% | -17.2% | 0.11 | 0.03 | 1.1x | 18 | 3% |
| 볼린저 밴드 돌파 n=25, k=1.7 |
0.4% | -58.2% | 0.11 | 0.01 | 1.1x | 177 | 35% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=16, mult=2.1 |
0.2% | -50.5% | 0.10 | 0.00 | 1.0x | 99 | 42% |
| MACD fast=11, slow=41, signal=8 |
-1.3% | -79.2% | 0.07 | -0.02 | 0.8x | 343 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-2.8% | -76.5% | -0.01 | -0.04 | 0.6x | 167 | 51% |
| Buy and hold | 0.9% | -88.6% | 0.21 | 0.01 | 1.2x | 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 51-day average price crosses above the 217-day average
- Sell — Sell (to cash) when the 51-day average falls below the 217-day average