Trend-Following Backtester · Guide · backtest 한국어
etf · US
WisdomTree Bloomberg U.S. Dollar Bullish Fund backtest
10 trend-following strategies were compared on the full daily history of WisdomTree Bloomberg U.S. Dollar Bullish Fund. 2 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 0.6%, MDD -3.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 0.4%, drawdown -16.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.6%, MDD -3.2%, Sharpe 0.31, 4% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 13.6%p (CAGR 0.6%, MDD -3.2%, exposure 4%).
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=50, threshold=22 |
0.6% | -3.2% | 0.31 | 0.17 | 1.1x | 4 | 4% |
| ROC 모멘텀 Hold-like · Exposure 98% n=33, threshold=-0.07 |
0.5% | -15.4% | 0.10 | 0.03 | 1.1x | 5 | 98% |
| SMA 크로스오버 fast=18, slow=84 |
0.2% | -17.3% | 0.06 | 0.01 | 1.0x | 39 | 54% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
0.1% | -6.0% | 0.05 | 0.01 | 1.0x | 4 | 5% |
| Donchian 채널 돌파 entryN=82, exitN=31 |
0.1% | -13.9% | 0.04 | 0.01 | 1.0x | 23 | 45% |
| Supertrend period=4, mult=3.7 |
-0.1% | -16.1% | 0.02 | -0.00 | 1.0x | 56 | 56% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=8, mult=3.3 |
-0.2% | -16.3% | -0.04 | -0.01 | 1.0x | 34 | 27% |
| EMA 크로스오버 fast=52, slow=84 |
-0.6% | -24.0% | -0.07 | -0.03 | 0.9x | 19 | 53% |
| MACD fast=24, slow=59, signal=20 |
-2.4% | -30.8% | -0.37 | -0.08 | 0.7x | 110 | 53% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.7% | -41.8% | -0.58 | -0.09 | 0.6x | 104 | 52% |
| Buy and hold | 0.4% | -16.8% | 0.09 | 0.03 | 1.1x | 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, 50-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)