Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Enhanced Short Maturity ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust Enhanced Short Maturity ETF. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR -0.1%, drawdown -5.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -2.1%, Sharpe 0.16, 12% 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=38, threshold=24 |
0.1% | -2.1% | 0.16 | 0.04 | 1.0x | 6 | 12% |
| ROC 모멘텀 Hold-like · Exposure 96% n=119, threshold=-0.02 |
-0.2% | -4.5% | -0.14 | -0.04 | 1.0x | 3 | 96% |
| 볼린저 밴드 돌파 n=51, k=3.4 |
-0.2% | -2.7% | -0.35 | -0.08 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=10, mult=3.1 |
-0.3% | -3.7% | -0.46 | -0.08 | 1.0x | 4 | 0% |
| Donchian 채널 돌파 entryN=99, exitN=138 |
-0.6% | -7.0% | -0.53 | -0.08 | 0.9x | 10 | 49% |
| SMA 크로스오버 fast=44, slow=261 |
-0.6% | -7.1% | -0.58 | -0.08 | 0.9x | 10 | 58% |
| EMA 크로스오버 fast=78, slow=121 |
-1.1% | -12.2% | -1.00 | -0.09 | 0.9x | 22 | 60% |
| Supertrend period=11, mult=5 |
-3.2% | -32.2% | -1.69 | -0.10 | 0.7x | 52 | 34% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.5% | -42.1% | -2.71 | -0.11 | 0.6x | 86 | 43% |
| MACD fast=30, slow=46, signal=16 |
-10.0% | -71.8% | -3.95 | -0.14 | 0.3x | 217 | 46% |
| Buy and hold | -0.1% | -5.4% | -0.03 | -0.02 | 1.0x | 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, 38-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)