Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Smith Unconstrained Bond ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust Smith Unconstrained Bond ETF. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -0.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.3%, drawdown -15.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.1%, MDD -0.5%, Sharpe 0.15, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 14.8%p (CAGR 0.1%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=41, threshold=0.08 |
0.1% | -0.5% | 0.15 | 0.13 | 1.0x | 2 | 0% |
| Supertrend period=28, mult=3.2 |
-0.1% | -12.3% | -0.00 | -0.01 | 1.0x | 29 | 66% |
| Donchian 채널 돌파 entryN=48, exitN=37 |
-0.1% | -9.3% | -0.04 | -0.01 | 1.0x | 14 | 43% |
| 볼린저 밴드 돌파 n=14, k=2.7 |
-0.1% | -2.4% | -0.11 | -0.05 | 1.0x | 6 | 3% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=17, mult=3.7 |
-0.1% | -1.6% | -0.21 | -0.07 | 1.0x | 2 | 2% |
| ADX / DI 방향성 period=22, threshold=48 |
-0.1% | -0.9% | -0.26 | -0.12 | 1.0x | 2 | 2% |
| SMA 크로스오버 fast=48, slow=206 |
-1.7% | -16.0% | -0.37 | -0.11 | 0.9x | 10 | 50% |
| EMA 크로스오버 fast=7, slow=170 |
-1.1% | -12.8% | -0.40 | -0.08 | 0.9x | 22 | 53% |
| MACD fast=27, slow=54, signal=21 |
-3.8% | -28.2% | -1.24 | -0.14 | 0.7x | 72 | 45% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.2% | -29.6% | -1.28 | -0.14 | 0.7x | 76 | 50% |
| Buy and hold | -0.3% | -15.3% | -0.02 | -0.02 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 41-day return is greater than 8%
- Sell — Sell when the 41-day return drops to 8% or below