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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.3%, MDD -15.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -10.5%, drawdown -84.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.5%, MDD -42.7%, Sharpe 0.17, 18% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.0%p higher than buy and hold, while drawdown improves by 41.6%p (CAGR -0.3%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=50, slow=370 |
1.5% | -42.7% | 0.17 | 0.03 | 1.2x | 7 | 18% |
| ROC 모멘텀 n=18, threshold=0.22 |
0.7% | -19.9% | 0.13 | 0.04 | 1.1x | 8 | 1% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=25, mult=3.9 |
0.3% | -18.9% | 0.07 | 0.02 | 1.0x | 4 | 0% |
| 볼린저 밴드 돌파 n=26, k=3.3 |
0.2% | -20.2% | 0.07 | 0.01 | 1.0x | 8 | 2% |
| Donchian 채널 돌파 entryN=132, exitN=72 |
-1.1% | -45.4% | 0.01 | -0.02 | 0.8x | 13 | 24% |
| EMA 크로스오버 fast=50, slow=211 |
-1.5% | -47.6% | -0.02 | -0.03 | 0.8x | 15 | 22% |
| ADX / DI 방향성 period=33, threshold=25 |
-0.3% | -15.1% | -0.05 | -0.02 | 1.0x | 4 | 1% |
| Supertrend period=14, mult=3.2 |
-5.5% | -62.1% | -0.20 | -0.09 | 0.4x | 95 | 40% |
| MACD fast=16, slow=23, signal=17 |
-7.1% | -77.9% | -0.27 | -0.09 | 0.3x | 207 | 50% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-10.9% | -83.4% | -0.51 | -0.13 | 0.2x | 207 | 42% |
| Buy and hold | -10.5% | -84.3% | -0.29 | -0.12 | 0.2x | 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 50-day average price crosses above the 370-day average
- Sell — Sell (to cash) when the 50-day average falls below the 370-day average