Trend-Following Backtester · Guide · backtest 한국어
etf · US
Teucrium Wheat Fund ETV backtest
10 trend-following strategies were compared on the full daily history of Teucrium Wheat Fund ETV. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -15.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -10.2%, drawdown -84.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.4%, MDD -30.5%, Sharpe 0.08, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 53.8%p (CAGR 0.1%, MDD -15.1%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=17, k=2.9 |
0.4% | -30.5% | 0.08 | 0.01 | 1.1x | 16 | 3% |
| ADX / DI 방향성 period=39, threshold=23 |
0.1% | -15.1% | 0.04 | 0.01 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=51, slow=213 |
-1.1% | -47.9% | 0.01 | -0.02 | 0.9x | 15 | 22% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=21, mult=3.8 |
-0.4% | -22.4% | -0.01 | -0.02 | 0.9x | 8 | 1% |
| Donchian 채널 돌파 entryN=118, exitN=70 |
-1.6% | -53.2% | -0.03 | -0.03 | 0.8x | 15 | 24% |
| ROC 모멘텀 n=147, threshold=0.01 |
-2.0% | -60.1% | -0.03 | -0.03 | 0.7x | 81 | 29% |
| SMA 크로스오버 fast=7, slow=180 |
-2.2% | -55.2% | -0.05 | -0.04 | 0.7x | 31 | 30% |
| Supertrend period=11, mult=3.5 |
-4.5% | -57.2% | -0.15 | -0.08 | 0.5x | 84 | 41% |
| MACD fast=13, slow=28, signal=17 |
-7.0% | -78.8% | -0.27 | -0.09 | 0.3x | 214 | 50% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-10.7% | -83.4% | -0.50 | -0.13 | 0.2x | 210 | 42% |
| Buy and hold | -10.2% | -84.3% | -0.28 | -0.12 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 17-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 17-day middle average