Trend-Following Backtester · Guide · backtest 한국어
etf · US
Quadratic Interest Rate Volatility and Inflation Hedge ETF backtest
10 trend-following strategies were compared on the full daily history of Quadratic Interest Rate Volatility and Inflation Hedge ETF. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -3.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -5.0%, drawdown -40.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 0.6%, MDD -6.8%, Sharpe 0.19, 30% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 34.0%p (CAGR 0.3%, MDD -3.1%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=41, slow=223 |
0.6% | -6.8% | 0.19 | 0.09 | 1.0x | 4 | 30% |
| ADX / DI 방향성 period=13, threshold=41 |
0.3% | -3.1% | 0.18 | 0.08 | 1.0x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=17, mult=3 |
0.0% | -4.6% | 0.02 | 0.00 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=64, k=2.5 |
-0.2% | -12.2% | -0.02 | -0.02 | 1.0x | 12 | 19% |
| SMA 크로스오버 fast=12, slow=123 |
-0.4% | -13.3% | -0.02 | -0.03 | 1.0x | 10 | 31% |
| Donchian 채널 돌파 entryN=85, exitN=27 |
-1.3% | -14.4% | -0.17 | -0.09 | 0.9x | 10 | 23% |
| Supertrend period=19, mult=4.7 |
-2.7% | -25.8% | -0.30 | -0.10 | 0.8x | 20 | 38% |
| ROC 모멘텀 n=17, threshold=0.09 |
-0.9% | -8.6% | -0.33 | -0.11 | 0.9x | 6 | 1% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-8.2% | -48.3% | -0.96 | -0.17 | 0.5x | 61 | 47% |
| MACD fast=19, slow=46, signal=13 |
-9.1% | -50.3% | -0.99 | -0.18 | 0.5x | 93 | 45% |
| Buy and hold | -5.0% | -40.7% | -0.37 | -0.12 | 0.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 41-day EMA crosses above the 223-day EMA
- Sell — Sell when the 41-day EMA falls below the 223-day EMA