Trend-Following Backtester · Guide · backtest 한국어
etf · US
T. Rowe Price U.S. Equity Research ETF backtest
10 trend-following strategies were compared on the full daily history of T. Rowe Price U.S. Equity Research ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.6%, MDD -10.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.9%, drawdown -24.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.6%, MDD -10.5%, Sharpe 1.18, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 14.2%p (CAGR 12.6%, MDD -10.5%, exposure 65%).
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=20, slow=227 |
12.6% | -10.5% | 1.18 | 1.20 | 1.8x | 3 | 65% |
| EMA 크로스오버 fast=45, slow=218 |
11.1% | -19.0% | 0.97 | 0.59 | 1.7x | 3 | 63% |
| ROC 모멘텀 n=116, threshold=-0.07 |
11.6% | -17.8% | 0.88 | 0.65 | 1.8x | 9 | 82% |
| Donchian 채널 돌파 entryN=85, exitN=60 |
8.5% | -13.0% | 0.86 | 0.66 | 1.5x | 9 | 62% |
| ADX / DI 방향성 period=17, threshold=22 |
4.0% | -6.1% | 0.73 | 0.66 | 1.2x | 22 | 24% |
| Supertrend period=18, mult=3.1 |
6.2% | -23.7% | 0.59 | 0.26 | 1.4x | 48 | 66% |
| Parabolic SAR step=0.005, maxStep=0.08 |
6.0% | -18.6% | 0.58 | 0.32 | 1.3x | 45 | 65% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=11, mult=3.4 |
3.4% | -18.0% | 0.45 | 0.19 | 1.2x | 22 | 43% |
| MACD fast=17, slow=47, signal=18 |
2.9% | -18.3% | 0.34 | 0.16 | 1.2x | 50 | 48% |
| 볼린저 밴드 돌파 n=43, k=2.6 |
0.6% | -3.3% | 0.32 | 0.19 | 1.0x | 2 | 4% |
| Buy and hold | 12.9% | -24.7% | 0.80 | 0.52 | 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 20-day average price crosses above the 227-day average
- Sell — Sell (to cash) when the 20-day average falls below the 227-day average