Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Dorsey Wright Focus 5 ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust Dorsey Wright Focus 5 ETF. 1 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 10.4%, MDD -24.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.9%, drawdown -34.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.4%, MDD -24.7%, Sharpe 0.69, 87% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.3%, MDD -26.3%, exposure 99%. 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 lower than buy and hold, while drawdown improves by 9.3%p (CAGR 10.4%, MDD -24.7%, exposure 87%).
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=16, exitN=53 |
10.4% | -24.7% | 0.69 | 0.42 | 3.5x | 27 | 87% |
| ROC 모멘텀 Hold-like · Exposure 99% n=7, threshold=-0.11 |
11.3% | -26.3% | 0.65 | 0.43 | 3.8x | 13 | 99% |
| SMA 크로스오버 fast=26, slow=205 |
4.8% | -34.9% | 0.38 | 0.14 | 1.8x | 19 | 70% |
| EMA 크로스오버 fast=64, slow=94 |
4.4% | -34.2% | 0.35 | 0.13 | 1.7x | 21 | 74% |
| Supertrend period=24, mult=4.1 |
3.3% | -35.2% | 0.31 | 0.09 | 1.5x | 62 | 65% |
| Parabolic SAR step=0.005, maxStep=0.1 |
2.8% | -29.9% | 0.28 | 0.09 | 1.4x | 121 | 62% |
| ADX / DI 방향성 period=33, threshold=23 |
0.6% | -5.2% | 0.27 | 0.12 | 1.1x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=25, mult=4 |
0.6% | -15.2% | 0.15 | 0.04 | 1.1x | 12 | 8% |
| 볼린저 밴드 돌파 n=57, k=3 |
-0.0% | -3.2% | -0.02 | -0.01 | 1.0x | 2 | 2% |
| MACD fast=14, slow=22, signal=19 |
-2.1% | -46.8% | -0.11 | -0.05 | 0.8x | 199 | 51% |
| Buy and hold | 10.9% | -34.0% | 0.61 | 0.32 | 3.7x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 53 days