Trend-Following Backtester · Guide · backtest 한국어
etf · US
Horizon Kinetics Inflation Beneficiaries ETF backtest
10 trend-following strategies were compared on the full daily history of Horizon Kinetics Inflation Beneficiaries ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.8%, drawdown -21.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.1%, MDD -22.1%, Sharpe 0.81, 96% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 96% n=45, threshold=-0.1 |
13.1% | -22.1% | 0.81 | 0.59 | 2.0x | 11 | 96% |
| SMA 크로스오버 fast=48, slow=185 |
7.7% | -25.2% | 0.59 | 0.31 | 1.5x | 9 | 66% |
| 볼린저 밴드 돌파 n=27, k=2.6 |
2.8% | -10.4% | 0.48 | 0.27 | 1.2x | 11 | 13% |
| EMA 크로스오버 fast=56, slow=89 |
5.4% | -33.7% | 0.43 | 0.16 | 1.3x | 9 | 74% |
| Donchian 채널 돌파 entryN=53, exitN=71 |
3.5% | -31.5% | 0.31 | 0.11 | 1.2x | 11 | 73% |
| MACD fast=11, slow=48, signal=10 |
2.1% | -17.6% | 0.25 | 0.12 | 1.1x | 81 | 49% |
| Supertrend period=13, mult=2.6 |
1.9% | -22.6% | 0.22 | 0.08 | 1.1x | 63 | 59% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=15, mult=4 |
1.1% | -15.8% | 0.20 | 0.07 | 1.1x | 13 | 18% |
| ADX / DI 방향성 period=28, threshold=21 |
0.4% | -11.4% | 0.10 | 0.03 | 1.0x | 6 | 9% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.3% | -35.6% | -0.11 | -0.06 | 0.9x | 55 | 61% |
| Buy and hold | 14.8% | -21.8% | 0.88 | 0.68 | 2.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 45-day return is greater than -10%
- Sell — Sell when the 45-day return drops to -10% or below