Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Large Cap Value AlphaDEX Fund backtest
10 trend-following strategies were compared on the full daily history of First Trust Large Cap Value AlphaDEX Fund. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.5%, MDD -25.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.1%, drawdown -63.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.5%, MDD -25.5%, Sharpe 0.56, 66% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.6%, MDD -51.0%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 38.3%p (CAGR 6.5%, MDD -25.5%, exposure 66%).
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=57, exitN=51 |
6.5% | -25.5% | 0.56 | 0.26 | 3.4x | 34 | 66% |
| SMA 크로스오버 fast=31, slow=124 |
5.6% | -37.1% | 0.50 | 0.15 | 2.9x | 33 | 67% |
| EMA 크로스오버 fast=49, slow=65 |
5.2% | -40.4% | 0.47 | 0.13 | 2.7x | 39 | 68% |
| ROC 모멘텀 Hold-like · Exposure 98% n=11, threshold=-0.11 |
7.6% | -51.0% | 0.47 | 0.15 | 4.1x | 35 | 98% |
| 볼린저 밴드 돌파 n=57, k=3.2 |
1.5% | -10.9% | 0.47 | 0.14 | 1.3x | 6 | 6% |
| Supertrend period=23, mult=4 |
3.9% | -25.9% | 0.35 | 0.15 | 2.1x | 112 | 62% |
| ADX / DI 방향성 period=35, threshold=33 |
0.2% | -9.1% | 0.11 | 0.02 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.01, maxStep=0.08 |
0.2% | -39.9% | 0.08 | 0.00 | 1.0x | 240 | 60% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=29, mult=2.1 |
0.2% | -29.8% | 0.08 | 0.01 | 1.0x | 122 | 47% |
| MACD fast=12, slow=43, signal=13 |
0.1% | -36.9% | 0.07 | 0.00 | 1.0x | 286 | 52% |
| Buy and hold | 6.1% | -63.8% | 0.38 | 0.09 | 3.1x | 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 57 days
- Sell — Sell when price breaks below the lowest low of the last 51 days