Trend-Following Backtester · Guide · backtest 한국어
etf · US
NYLIM FTSE International Equity Currency Neutral ETF backtest
10 trend-following strategies were compared on the full daily history of NYLIM FTSE International Equity Currency Neutral ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.4%, MDD -18.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.0%, drawdown -34.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.4%, MDD -18.5%, Sharpe 0.52, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 15.6%p (CAGR 5.4%, MDD -18.5%, exposure 66%).
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=26, slow=127 |
5.4% | -18.5% | 0.52 | 0.29 | 1.8x | 23 | 66% |
| EMA 크로스오버 fast=47, slow=161 |
5.3% | -25.2% | 0.49 | 0.21 | 1.8x | 13 | 69% |
| ROC 모멘텀 n=111, threshold=-0.04 |
4.1% | -27.5% | 0.39 | 0.15 | 1.6x | 53 | 77% |
| Donchian 채널 돌파 entryN=80, exitN=70 |
2.7% | -21.4% | 0.33 | 0.13 | 1.3x | 15 | 50% |
| 볼린저 밴드 돌파 n=59, k=3.1 |
0.8% | -8.5% | 0.25 | 0.09 | 1.1x | 4 | 6% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=27, mult=3.8 |
0.3% | -2.6% | 0.25 | 0.13 | 1.0x | 2 | 1% |
| Supertrend period=24, mult=5 |
0.7% | -31.1% | 0.12 | 0.02 | 1.1x | 43 | 65% |
| ADX / DI 방향성 period=29, threshold=33 |
-0.0% | -8.4% | 0.01 | -0.00 | 1.0x | 6 | 4% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.9% | -29.6% | -0.04 | -0.03 | 0.9x | 99 | 55% |
| MACD fast=17, slow=24, signal=19 |
-5.2% | -49.4% | -0.51 | -0.11 | 0.6x | 169 | 49% |
| Buy and hold | 6.0% | -34.2% | 0.43 | 0.18 | 1.9x | 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 26-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 26-day average falls below the 127-day average