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 ADX / DI 방향성 (CAGR 0.5%, MDD -17.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.6%, drawdown -88.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.0%, MDD -41.3%, Sharpe 0.39, 54% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.0%, MDD -42.5%, exposure 56%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 47.3%p (CAGR 0.5%, MDD -17.2%, exposure 3%).
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 |
6.0% | -41.3% | 0.39 | 0.15 | 3.1x | 21 | 54% |
| Donchian 채널 돌파 entryN=102, exitN=107 |
6.0% | -42.5% | 0.39 | 0.14 | 3.1x | 19 | 56% |
| Supertrend period=21, mult=4.3 |
5.4% | -45.7% | 0.35 | 0.12 | 2.7x | 84 | 52% |
| EMA 크로스오버 fast=31, slow=207 |
4.0% | -43.9% | 0.30 | 0.09 | 2.1x | 29 | 49% |
| ROC 모멘텀 n=139, threshold=0.03 |
2.4% | -47.4% | 0.22 | 0.05 | 1.6x | 147 | 50% |
| 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 | 175 | 35% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=16, mult=2.1 |
0.2% | -50.5% | 0.10 | 0.00 | 1.0x | 97 | 42% |
| MACD fast=11, slow=41, signal=8 |
-1.4% | -79.2% | 0.07 | -0.02 | 0.8x | 341 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-3.2% | -76.5% | -0.02 | -0.04 | 0.5x | 167 | 51% |
| Buy and hold | 0.6% | -88.6% | 0.20 | 0.01 | 1.1x | 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