Trend-Following Backtester · Guide · backtest 한국어
etf · US
Timothy Plan US Small Cap Core ETF backtest
10 trend-following strategies were compared on the full daily history of Timothy Plan US Small Cap Core ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.2%, MDD -17.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.1%, drawdown -41.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.2%, MDD -17.2%, Sharpe 0.72, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 10.2%, MDD -17.2%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=31, slow=202 |
10.2% | -17.2% | 0.72 | 0.59 | 1.9x | 9 | 66% |
| EMA 크로스오버 fast=47, slow=64 |
9.4% | -30.5% | 0.65 | 0.31 | 1.8x | 11 | 70% |
| ROC 모멘텀 n=114, threshold=-0.06 |
9.4% | -24.5% | 0.61 | 0.38 | 1.8x | 21 | 80% |
| Donchian 채널 돌파 entryN=107, exitN=79 |
6.5% | -25.0% | 0.51 | 0.26 | 1.5x | 7 | 59% |
| MACD fast=13, slow=50, signal=13 |
4.0% | -29.0% | 0.33 | 0.14 | 1.3x | 84 | 50% |
| 볼린저 밴드 돌파 n=13, k=2.9 |
1.1% | -5.9% | 0.31 | 0.19 | 1.1x | 8 | 4% |
| Supertrend period=13, mult=3.5 |
2.8% | -30.5% | 0.25 | 0.09 | 1.2x | 49 | 59% |
| Parabolic SAR step=0.005, maxStep=0.22 |
2.2% | -31.3% | 0.22 | 0.07 | 1.2x | 59 | 59% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=27, mult=3.6 |
0.9% | -13.2% | 0.20 | 0.07 | 1.1x | 10 | 6% |
| ADX / DI 방향성 period=30, threshold=24 |
0.8% | -10.1% | 0.19 | 0.08 | 1.1x | 8 | 3% |
| Buy and hold | 10.1% | -41.9% | 0.52 | 0.24 | 1.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 31-day average price crosses above the 202-day average
- Sell — Sell (to cash) when the 31-day average falls below the 202-day average