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. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 3.1%, MDD -24.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.7%, drawdown -36.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -4.6%, Sharpe 0.62, 3% exposure.
CAGR reference leader: Supertrend — CAGR 3.1%, MDD -24.7%, exposure 46%.
Return/drawdown alternative: Supertrend — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 31.9%p (CAGR 3.1%, MDD -24.7%, exposure 46%).
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% | 0.62 | 0.48 | 1.1x | 2 | 3% |
| ROC 모멘텀 n=40, threshold=0.1 |
2.4% | -6.5% | 0.42 | 0.36 | 1.1x | 16 | 6% |
| 볼린저 밴드 돌파 n=38, k=2.5 |
2.6% | -11.0% | 0.36 | 0.23 | 1.2x | 15 | 21% |
| Donchian 채널 돌파 entryN=114, exitN=12 |
2.1% | -13.8% | 0.34 | 0.15 | 1.1x | 9 | 13% |
| Supertrend period=13, mult=4.6 |
3.1% | -24.7% | 0.32 | 0.12 | 1.2x | 23 | 46% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=14, mult=2.4 |
2.3% | -22.3% | 0.31 | 0.11 | 1.1x | 27 | 24% |
| EMA 크로스오버 fast=37, slow=195 |
2.2% | -22.9% | 0.25 | 0.09 | 1.1x | 9 | 33% |
| SMA 크로스오버 fast=11, slow=187 |
1.3% | -31.7% | 0.17 | 0.04 | 1.1x | 17 | 40% |
| MACD fast=19, slow=39, signal=16 |
-0.0% | -32.0% | 0.06 | -0.00 | 1.0x | 61 | 55% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-3.8% | -42.4% | -0.28 | -0.09 | 0.8x | 95 | 55% |
| Buy and hold | 3.7% | -36.5% | 0.31 | 0.10 | 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)