Trend-Following Backtester · Guide · backtest 한국어
etf · US
Franklin U.S. Equity Index ETF backtest
10 trend-following strategies were compared on the full daily history of Franklin U.S. Equity Index ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.7%, drawdown -31.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.8%, MDD -25.8%, Sharpe 0.71, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 99% n=5, threshold=-0.09 |
9.8% | -25.8% | 0.71 | 0.38 | 2.6x | 9 | 99% |
| SMA 크로스오버 fast=12, slow=228 |
6.9% | -14.1% | 0.71 | 0.49 | 2.0x | 15 | 72% |
| Donchian 채널 돌파 entryN=20, exitN=65 |
7.7% | -25.9% | 0.69 | 0.30 | 2.1x | 27 | 82% |
| EMA 크로스오버 fast=33, slow=171 |
7.0% | -17.9% | 0.67 | 0.39 | 2.0x | 11 | 76% |
| Supertrend period=16, mult=4.9 |
3.0% | -25.0% | 0.35 | 0.12 | 1.4x | 77 | 66% |
| Parabolic SAR step=0.005, maxStep=0.12 |
2.5% | -16.9% | 0.30 | 0.15 | 1.3x | 86 | 63% |
| MACD fast=51, slow=76, signal=24 |
2.2% | -29.3% | 0.29 | 0.08 | 1.3x | 62 | 51% |
| 볼린저 밴드 돌파 n=44, k=3.3 |
0.3% | -3.3% | 0.22 | 0.09 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=11, mult=3.3 |
1.3% | -22.5% | 0.21 | 0.06 | 1.1x | 58 | 51% |
| ADX / DI 방향성 period=33, threshold=37 |
0.2% | -2.8% | 0.17 | 0.07 | 1.0x | 2 | 2% |
| Buy and hold | 9.7% | -31.2% | 0.66 | 0.31 | 2.6x | 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 5-day return is greater than -9%
- Sell — Sell when the 5-day return drops to -9% or below