Trend-Following Backtester · Guide · backtest 한국어
etf · US
Principal Active High Yield ETF backtest
10 trend-following strategies were compared on the full daily history of Principal Active High Yield ETF. 7 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 0.5%, MDD -3.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.6%, drawdown -30.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.5%, MDD -3.2%, Sharpe 0.22, 20% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.6%, MDD -10.8%, exposure 57%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 27.2%p (CAGR 0.5%, MDD -3.2%, exposure 20%).
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=40, threshold=20 |
0.5% | -3.2% | 0.22 | 0.16 | 1.1x | 16 | 20% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=14, mult=3.4 |
0.5% | -11.4% | 0.16 | 0.04 | 1.1x | 14 | 16% |
| SMA 크로스오버 fast=26, slow=118 |
0.6% | -10.8% | 0.15 | 0.06 | 1.1x | 24 | 57% |
| Donchian 채널 돌파 entryN=52, exitN=77 |
0.6% | -11.7% | 0.15 | 0.05 | 1.1x | 14 | 59% |
| ROC 모멘텀 n=77, threshold=0.08 |
0.1% | -3.2% | 0.13 | 0.05 | 1.0x | 10 | 3% |
| EMA 크로스오버 fast=57, slow=73 |
0.5% | -9.6% | 0.13 | 0.05 | 1.1x | 18 | 58% |
| Supertrend period=28, mult=4.8 |
0.3% | -17.8% | 0.08 | 0.02 | 1.0x | 36 | 59% |
| 볼린저 밴드 돌파 n=55, k=3 |
-0.7% | -9.2% | -0.28 | -0.07 | 0.9x | 6 | 3% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.4% | -24.2% | -0.46 | -0.10 | 0.8x | 84 | 49% |
| MACD fast=15, slow=28, signal=13 |
-6.4% | -52.1% | -1.23 | -0.12 | 0.5x | 176 | 50% |
| Buy and hold | -0.6% | -30.3% | -0.02 | -0.02 | 0.9x | 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, 40-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)