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 1.4%, MDD -0.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -8.5%, drawdown -50.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.4%, MDD -0.8%, Sharpe 0.49, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 50.0%p (CAGR 1.4%, MDD -0.8%, 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=25, threshold=29 |
1.4% | -0.8% | 0.49 | 1.70 | 1.1x | 2 | 0% |
| ROC 모멘텀 n=4, threshold=0.1 |
1.3% | -1.5% | 0.43 | 0.84 | 1.1x | 6 | 0% |
| SMA 크로스오버 fast=73, slow=185 |
0.5% | -7.2% | 0.13 | 0.08 | 1.0x | 8 | 24% |
| 볼린저 밴드 돌파 n=11, k=2.7 |
-0.1% | -8.3% | 0.00 | -0.01 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=116, exitN=32 |
-0.5% | -2.8% | -0.47 | -0.17 | 1.0x | 2 | 2% |
| Supertrend period=15, mult=4.5 |
-7.2% | -35.9% | -0.62 | -0.20 | 0.7x | 18 | 41% |
| EMA 크로스오버 fast=47, slow=98 |
-3.9% | -23.2% | -0.66 | -0.17 | 0.8x | 12 | 24% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=28, mult=2.6 |
-1.9% | -11.3% | -0.66 | -0.17 | 0.9x | 2 | 1% |
| MACD fast=19, slow=51, signal=19 |
-9.2% | -41.1% | -0.68 | -0.22 | 0.6x | 48 | 49% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-13.2% | -52.8% | -1.04 | -0.25 | 0.5x | 76 | 48% |
| Buy and hold | -8.5% | -50.8% | -0.29 | -0.17 | 0.6x | 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, 25-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)