Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Capital Strength ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust Capital Strength ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.3%, drawdown -54.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.2%, MDD -49.7%, Sharpe 0.52, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=13, threshold=-0.09 |
7.2% | -49.7% | 0.52 | 0.15 | 4.1x | 53 | 98% |
| SMA 크로스오버 fast=10, slow=133 |
4.8% | -21.4% | 0.49 | 0.22 | 2.5x | 69 | 69% |
| EMA 크로스오버 fast=34, slow=45 |
4.8% | -23.5% | 0.49 | 0.21 | 2.6x | 65 | 70% |
| Donchian 채널 돌파 entryN=21, exitN=76 |
5.9% | -48.2% | 0.48 | 0.12 | 3.2x | 39 | 87% |
| Supertrend period=20, mult=5 |
3.3% | -22.3% | 0.35 | 0.15 | 1.9x | 85 | 67% |
| 볼린저 밴드 돌파 n=33, k=2.6 |
0.5% | -11.5% | 0.16 | 0.04 | 1.1x | 25 | 10% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=12, mult=2.1 |
1.0% | -28.7% | 0.15 | 0.03 | 1.2x | 125 | 51% |
| Parabolic SAR step=0.005, maxStep=0.14 |
0.2% | -35.3% | 0.08 | 0.01 | 1.0x | 199 | 62% |
| MACD fast=14, slow=24, signal=19 |
-1.2% | -40.1% | -0.05 | -0.03 | 0.8x | 283 | 51% |
| ADX / DI 방향성 period=38, threshold=18 |
-0.4% | -16.0% | -0.11 | -0.03 | 0.9x | 32 | 7% |
| Buy and hold | 8.3% | -54.1% | 0.51 | 0.15 | 4.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 13-day return is greater than -9%
- Sell — Sell when the 13-day return drops to -9% or below