Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Nasdaq BuyWrite Income ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust Nasdaq BuyWrite Income ETF. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.7%, drawdown -28.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -4.0%, Sharpe 0.28, 5% exposure.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=30, threshold=29 |
0.4% | -4.0% | 0.28 | 0.10 | 1.0x | 2 | 5% |
| ROC 모멘텀 n=138, threshold=0.2 |
0.1% | -0.5% | 0.25 | 0.15 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=65, slow=238 |
0.2% | -23.2% | 0.07 | 0.01 | 1.0x | 13 | 58% |
| Donchian 채널 돌파 entryN=16, exitN=80 |
-0.2% | -23.3% | 0.04 | -0.01 | 1.0x | 29 | 86% |
| SMA 크로스오버 fast=31, slow=200 |
-0.5% | -23.8% | -0.01 | -0.02 | 0.9x | 25 | 61% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=8, mult=3.5 |
-0.4% | -5.7% | -0.18 | -0.06 | 1.0x | 4 | 0% |
| Supertrend period=22, mult=4.1 |
-2.1% | -32.4% | -0.22 | -0.06 | 0.8x | 81 | 61% |
| 볼린저 밴드 돌파 n=22, k=3.5 |
-0.4% | -5.2% | -0.31 | -0.08 | 0.9x | 2 | 0% |
| MACD fast=52, slow=54, signal=44 |
-3.3% | -46.9% | -0.38 | -0.07 | 0.7x | 70 | 52% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-6.0% | -56.0% | -0.66 | -0.11 | 0.5x | 107 | 59% |
| Buy and hold | 0.7% | -28.8% | 0.12 | 0.03 | 1.1x | 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, 30-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)