Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Developed Markets Ex-US AlphaDEX Fund backtest
10 trend-following strategies were compared on the full daily history of First Trust Developed Markets Ex-US AlphaDEX Fund. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.7%, MDD -25.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.3%, drawdown -48.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.7%, MDD -25.4%, Sharpe 0.53, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 23.1%p (CAGR 5.7%, MDD -25.4%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=51, slow=192 |
5.7% | -25.4% | 0.53 | 0.22 | 2.3x | 15 | 60% |
| SMA 크로스오버 fast=42, slow=113 |
5.3% | -25.5% | 0.49 | 0.21 | 2.2x | 26 | 60% |
| Donchian 채널 돌파 entryN=47, exitN=51 |
3.8% | -23.6% | 0.38 | 0.16 | 1.8x | 36 | 60% |
| ROC 모멘텀 n=125, threshold=0.12 |
2.3% | -15.2% | 0.34 | 0.15 | 1.4x | 76 | 22% |
| Supertrend period=28, mult=4.6 |
3.1% | -38.8% | 0.31 | 0.08 | 1.6x | 69 | 70% |
| ADX / DI 방향성 period=38, threshold=16 |
1.2% | -21.8% | 0.27 | 0.06 | 1.2x | 26 | 14% |
| 볼린저 밴드 돌파 n=24, k=3.4 |
0.2% | -2.7% | 0.23 | 0.08 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=3.7 |
1.0% | -18.2% | 0.17 | 0.06 | 1.2x | 42 | 29% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-2.5% | -52.6% | -0.15 | -0.05 | 0.7x | 143 | 59% |
| MACD fast=18, slow=22, signal=18 |
-4.6% | -66.1% | -0.36 | -0.07 | 0.5x | 223 | 50% |
| Buy and hold | 4.3% | -48.6% | 0.32 | 0.09 | 1.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 51-day EMA crosses above the 192-day EMA
- Sell — Sell when the 51-day EMA falls below the 192-day EMA