Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust RBA American Industrial Renaissance ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust RBA American Industrial Renaissance ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 12.2%, MDD -32.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.6%, drawdown -42.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.5%, MDD -38.0%, Sharpe 0.69, 88% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 4.3%p (CAGR 12.2%, MDD -32.9%, exposure 93%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=16, exitN=86 |
13.5% | -38.0% | 0.69 | 0.36 | 4.9x | 24 | 88% |
| ROC 모멘텀 n=85, threshold=-0.15 |
12.2% | -32.9% | 0.63 | 0.37 | 4.2x | 19 | 93% |
| SMA 크로스오버 fast=7, slow=187 |
10.2% | -25.2% | 0.62 | 0.40 | 3.4x | 34 | 69% |
| EMA 크로스오버 fast=46, slow=98 |
9.3% | -26.1% | 0.57 | 0.36 | 3.0x | 26 | 70% |
| Supertrend period=27, mult=2.6 |
7.3% | -26.6% | 0.48 | 0.27 | 2.4x | 128 | 63% |
| ADX / DI 방향성 period=38, threshold=19 |
2.6% | -9.7% | 0.46 | 0.27 | 1.4x | 6 | 7% |
| 볼린저 밴드 돌파 n=54, k=3 |
2.6% | -15.5% | 0.37 | 0.17 | 1.4x | 12 | 12% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=29, mult=1 |
2.3% | -32.1% | 0.22 | 0.07 | 1.3x | 130 | 57% |
| MACD fast=18, slow=43, signal=11 |
1.4% | -35.3% | 0.16 | 0.04 | 1.2x | 178 | 49% |
| Parabolic SAR step=0.01, maxStep=0.34 |
0.8% | -39.6% | 0.13 | 0.02 | 1.1x | 182 | 58% |
| Buy and hold | 14.6% | -42.4% | 0.66 | 0.34 | 5.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 16 days
- Sell — Sell when price breaks below the lowest low of the last 86 days