Trend-Following Backtester · Guide · backtest 한국어
etf · US
KraneShares Mount Lucas Managed Futures Index Strategy ETF backtest
10 trend-following strategies were compared on the full daily history of KraneShares Mount Lucas Managed Futures Index Strategy ETF. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.2%, MDD -4.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.7%, drawdown -36.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -4.6%, Sharpe 0.63, 3% exposure.
CAGR reference leader: Supertrend — CAGR 2.7%, MDD -26.1%, exposure 40%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 31.9%p (CAGR 2.2%, MDD -4.6%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=21, threshold=34 |
2.2% | -4.6% | 0.63 | 0.49 | 1.1x | 2 | 3% |
| Donchian 채널 돌파 entryN=112, exitN=10 |
2.4% | -12.2% | 0.39 | 0.20 | 1.1x | 8 | 12% |
| 볼린저 밴드 돌파 n=38, k=2.5 |
2.4% | -11.0% | 0.34 | 0.21 | 1.1x | 14 | 21% |
| Supertrend period=18, mult=4.8 |
2.7% | -26.1% | 0.30 | 0.10 | 1.2x | 21 | 40% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=19, mult=3.6 |
2.0% | -15.0% | 0.30 | 0.14 | 1.1x | 13 | 16% |
| ROC 모멘텀 n=144, threshold=0.13 |
1.2% | -14.9% | 0.19 | 0.08 | 1.1x | 10 | 12% |
| EMA 크로스오버 fast=18, slow=189 |
0.9% | -26.0% | 0.13 | 0.03 | 1.0x | 9 | 32% |
| SMA 크로스오버 fast=16, slow=181 |
0.1% | -32.8% | 0.06 | 0.00 | 1.0x | 17 | 39% |
| MACD fast=19, slow=33, signal=19 |
-0.7% | -32.5% | -0.00 | -0.02 | 1.0x | 59 | 54% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-5.3% | -45.2% | -0.41 | -0.12 | 0.7x | 97 | 53% |
| Buy and hold | 2.7% | -36.5% | 0.25 | 0.07 | 1.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 21-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)