Trend-Following Backtester · Guide · backtest 한국어
etf · US
Simplify Volatility Premium ETF backtest
10 trend-following strategies were compared on the full daily history of Simplify Volatility Premium ETF. 8 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 1.5%, MDD -0.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -7.7%, drawdown -50.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.5%, MDD -0.5%, Sharpe 0.51, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 50.3%p (CAGR 1.5%, MDD -0.5%, exposure 0%).
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=29 |
1.5% | -0.5% | 0.51 | 2.92 | 1.1x | 2 | 0% |
| ROC 모멘텀 n=101, threshold=0.12 |
0.6% | -0.7% | 0.46 | 0.83 | 1.0x | 6 | 1% |
| 볼린저 밴드 돌파 n=11, k=2.5 |
-0.1% | -8.3% | 0.00 | -0.01 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=47, slow=187 |
-1.1% | -11.7% | -0.20 | -0.09 | 0.9x | 10 | 22% |
| Donchian 채널 돌파 entryN=115, exitN=34 |
-0.7% | -4.8% | -0.32 | -0.14 | 1.0x | 3 | 4% |
| Supertrend period=29, mult=4.5 |
-6.4% | -31.1% | -0.43 | -0.21 | 0.7x | 19 | 50% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=15, mult=4 |
-0.5% | -2.8% | -0.46 | -0.16 | 1.0x | 2 | 2% |
| EMA 크로스오버 fast=57, slow=61 |
-4.8% | -26.8% | -0.58 | -0.18 | 0.8x | 17 | 31% |
| MACD fast=16, slow=33, signal=19 |
-8.4% | -38.6% | -0.65 | -0.22 | 0.6x | 56 | 48% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-12.9% | -53.0% | -1.02 | -0.24 | 0.5x | 80 | 49% |
| Buy and hold | -7.7% | -50.8% | -0.26 | -0.15 | 0.7x | 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 ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)