Trend-Following Backtester · Guide · backtest 한국어
etf · US
Columbia Research Enhanced Core ETF backtest
10 trend-following strategies were compared on the full daily history of Columbia Research Enhanced Core ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.0%, MDD -22.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.4%, drawdown -34.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.0%, MDD -22.8%, Sharpe 0.92, 71% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 11.9%p (CAGR 12.0%, MDD -22.8%, exposure 71%).
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=56, slow=116 |
12.0% | -22.8% | 0.92 | 0.53 | 2.2x | 11 | 71% |
| SMA 크로스오버 fast=19, slow=192 |
10.3% | -25.4% | 0.81 | 0.40 | 2.0x | 11 | 70% |
| Donchian 채널 돌파 entryN=34, exitN=54 |
10.0% | -33.1% | 0.74 | 0.30 | 1.9x | 13 | 78% |
| ROC 모멘텀 n=142, threshold=-0.04 |
9.8% | -29.6% | 0.73 | 0.33 | 1.9x | 21 | 76% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=19, mult=1.1 |
4.4% | -15.6% | 0.49 | 0.28 | 1.3x | 97 | 54% |
| Parabolic SAR step=0.005, maxStep=0.24 |
4.6% | -32.1% | 0.40 | 0.14 | 1.4x | 65 | 65% |
| Supertrend period=31, mult=3.6 |
4.5% | -41.6% | 0.37 | 0.11 | 1.4x | 55 | 70% |
| 볼린저 밴드 돌파 n=22, k=1.7 |
2.3% | -16.3% | 0.30 | 0.14 | 1.2x | 67 | 50% |
| MACD fast=23, slow=33, signal=13 |
0.8% | -28.4% | 0.12 | 0.03 | 1.1x | 98 | 52% |
| ADX / DI 방향성 period=20, threshold=9 |
0.1% | -37.3% | 0.08 | 0.00 | 1.0x | 101 | 64% |
| Buy and hold | 12.4% | -34.7% | 0.67 | 0.36 | 2.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 56-day EMA crosses above the 116-day EMA
- Sell — Sell when the 56-day EMA falls below the 116-day EMA