Trend-Following Backtester · Guide · backtest 한국어
etf · US
NYLIM Merger Arbitrage ETF backtest
10 trend-following strategies were compared on the full daily history of NYLIM Merger Arbitrage ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.2%, drawdown -16.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.9%, MDD -10.2%, Sharpe 0.25, 49% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=88, exitN=56 |
0.9% | -10.2% | 0.25 | 0.09 | 1.2x | 19 | 49% |
| SMA 크로스오버 fast=52, slow=212 |
0.8% | -16.7% | 0.18 | 0.05 | 1.1x | 25 | 59% |
| EMA 크로스오버 fast=45, slow=200 |
0.8% | -17.1% | 0.17 | 0.04 | 1.1x | 23 | 62% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
0.1% | -2.0% | 0.15 | 0.05 | 1.0x | 4 | 3% |
| Supertrend period=24, mult=4 |
0.4% | -19.6% | 0.10 | 0.02 | 1.1x | 37 | 67% |
| ROC 모멘텀 n=132, threshold=0.11 |
0.0% | -1.5% | 0.05 | 0.02 | 1.0x | 8 | 0% |
| ADX / DI 방향성 period=29, threshold=43 |
-0.1% | -5.9% | -0.11 | -0.02 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=15, mult=3.1 |
-0.3% | -6.9% | -0.22 | -0.04 | 1.0x | 10 | 4% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.0% | -39.6% | -0.57 | -0.07 | 0.6x | 142 | 58% |
| MACD fast=19, slow=53, signal=24 |
-5.4% | -60.2% | -1.11 | -0.09 | 0.4x | 188 | 50% |
| Buy and hold | 2.2% | -16.7% | 0.33 | 0.13 | 1.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 88 days
- Sell — Sell when price breaks below the lowest low of the last 56 days