Trend-Following Backtester · Guide · backtest 한국어
etf · US
T. Rowe Price Blue Chip Growth ETF backtest
10 trend-following strategies were compared on the full daily history of T. Rowe Price Blue Chip Growth ETF. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.3%, MDD -15.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.6%, drawdown -42.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.3%, MDD -15.3%, Sharpe 0.87, 68% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 27.0%p (CAGR 12.3%, MDD -15.3%, exposure 68%).
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=37, slow=106 |
12.3% | -15.3% | 0.87 | 0.80 | 2.0x | 7 | 68% |
| SMA 크로스오버 fast=38, slow=135 |
11.8% | -17.1% | 0.86 | 0.69 | 2.0x | 7 | 65% |
| ROC 모멘텀 n=119, threshold=0.03 |
10.2% | -15.6% | 0.79 | 0.65 | 1.8x | 20 | 60% |
| Donchian 채널 돌파 entryN=21, exitN=66 |
9.2% | -40.5% | 0.60 | 0.23 | 1.7x | 14 | 79% |
| Supertrend period=9, mult=3 |
6.7% | -17.5% | 0.56 | 0.38 | 1.5x | 46 | 57% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=23, mult=2.1 |
5.6% | -17.8% | 0.54 | 0.31 | 1.4x | 34 | 50% |
| ADX / DI 방향성 period=31, threshold=16 |
3.5% | -11.5% | 0.50 | 0.30 | 1.2x | 24 | 23% |
| 볼린저 밴드 돌파 n=39, k=2 |
3.7% | -22.5% | 0.42 | 0.16 | 1.2x | 28 | 37% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-0.9% | -28.8% | 0.02 | -0.03 | 0.9x | 118 | 59% |
| MACD fast=11, slow=69, signal=21 |
-2.8% | -32.5% | -0.15 | -0.08 | 0.8x | 80 | 47% |
| Buy and hold | 11.6% | -42.3% | 0.59 | 0.27 | 1.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 37-day EMA crosses above the 106-day EMA
- Sell — Sell when the 37-day EMA falls below the 106-day EMA