Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Utilities AlphaDEX Fund backtest
10 trend-following strategies were compared on the full daily history of First Trust Utilities AlphaDEX Fund. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.4%, MDD -39.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.7%, drawdown -51.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.4%, MDD -39.4%, Sharpe 0.39, 69% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.9%, MDD -34.9%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 12.1%p (CAGR 4.4%, MDD -39.4%, exposure 69%).
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=63, slow=212 |
4.4% | -39.4% | 0.39 | 0.11 | 2.3x | 17 | 69% |
| ROC 모멘텀 Hold-like · Exposure 98% n=19, threshold=-0.09 |
4.9% | -34.9% | 0.38 | 0.14 | 2.5x | 33 | 98% |
| EMA 크로스오버 fast=34, slow=207 |
3.8% | -34.9% | 0.35 | 0.11 | 2.0x | 19 | 71% |
| Donchian 채널 돌파 entryN=12, exitN=60 |
3.2% | -33.7% | 0.29 | 0.10 | 1.8x | 55 | 84% |
| Supertrend period=43, mult=4.4 |
-0.0% | -45.5% | 0.06 | -0.00 | 1.0x | 93 | 63% |
| 볼린저 밴드 돌파 n=15, k=2.7 |
0.1% | -12.8% | 0.05 | 0.01 | 1.0x | 30 | 5% |
| MACD fast=16, slow=39, signal=17 |
-1.8% | -50.5% | -0.09 | -0.04 | 0.7x | 228 | 52% |
| ADX / DI 방향성 period=44, threshold=25 |
-0.1% | -6.9% | -0.09 | -0.02 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-3.5% | -54.1% | -0.21 | -0.06 | 0.5x | 177 | 57% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=19, mult=3.3 |
-3.6% | -55.5% | -0.42 | -0.07 | 0.5x | 76 | 33% |
| Buy and hold | 4.7% | -51.5% | 0.34 | 0.09 | 2.4x | 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 63-day average price crosses above the 212-day average
- Sell — Sell (to cash) when the 63-day average falls below the 212-day average