Trend-Following Backtester · Guide · backtest 한국어
etf · US
AdvisorShares Pure US Cannabis ETF backtest
10 trend-following strategies were compared on the full daily history of AdvisorShares Pure US Cannabis ETF. 10 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 7.5%, MDD -17.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -25.9%, drawdown -96.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.5%, MDD -17.8%, Sharpe 0.71, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 33.4%p higher than buy and hold, while drawdown improves by 78.5%p (CAGR 7.5%, MDD -17.8%, exposure 5%).
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=22, threshold=35 |
7.5% | -17.8% | 0.71 | 0.42 | 1.5x | 8 | 5% |
| ROC 모멘텀 n=100, threshold=0.13 |
3.8% | -49.2% | 0.31 | 0.08 | 1.2x | 42 | 25% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=29, mult=4 |
3.5% | -43.0% | 0.26 | 0.08 | 1.2x | 10 | 11% |
| Supertrend period=18, mult=2.1 |
1.5% | -63.6% | 0.26 | 0.02 | 1.1x | 58 | 33% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-1.7% | -73.7% | 0.22 | -0.02 | 0.9x | 98 | 42% |
| 볼린저 밴드 돌파 n=45, k=2 |
0.2% | -61.0% | 0.20 | 0.00 | 1.0x | 22 | 22% |
| MACD fast=9, slow=16, signal=18 |
-6.2% | -85.5% | 0.14 | -0.07 | 0.7x | 98 | 51% |
| SMA 크로스오버 fast=14, slow=171 |
-5.9% | -52.4% | 0.10 | -0.11 | 0.7x | 12 | 27% |
| EMA 크로스오버 fast=58, slow=68 |
-5.9% | -59.9% | 0.09 | -0.10 | 0.7x | 9 | 34% |
| Donchian 채널 돌파 entryN=45, exitN=7 |
-2.4% | -49.0% | 0.09 | -0.05 | 0.9x | 22 | 13% |
| Buy and hold | -25.9% | -96.3% | -0.05 | -0.27 | 0.2x | 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, 22-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)