Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Small Cap Core AlphaDEX Fund backtest
10 trend-following strategies were compared on the full daily history of First Trust Small Cap Core AlphaDEX Fund. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.0%, MDD -29.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.4%, drawdown -62.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.0%, MDD -31.3%, Sharpe 0.54, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 30.7%p (CAGR 7.0%, MDD -29.6%, exposure 65%).
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=116, exitN=79 |
7.0% | -31.3% | 0.54 | 0.22 | 3.7x | 21 | 60% |
| EMA 크로스오버 fast=52, slow=86 |
7.0% | -29.6% | 0.51 | 0.24 | 3.7x | 31 | 65% |
| SMA 크로스오버 fast=13, slow=217 |
6.1% | -28.4% | 0.46 | 0.21 | 3.1x | 39 | 65% |
| Supertrend period=24, mult=4.4 |
4.3% | -38.8% | 0.34 | 0.11 | 2.2x | 91 | 64% |
| ROC 모멘텀 n=81, threshold=-0.02 |
2.9% | -49.1% | 0.26 | 0.06 | 1.7x | 185 | 69% |
| 볼린저 밴드 돌파 n=12, k=2.9 |
0.3% | -6.7% | 0.16 | 0.05 | 1.1x | 8 | 1% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.1% | -43.8% | 0.15 | 0.03 | 1.2x | 169 | 62% |
| ADX / DI 방향성 period=34, threshold=25 |
0.0% | -0.5% | 0.13 | 0.08 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=20, mult=1.4 |
-0.3% | -48.0% | 0.05 | -0.01 | 0.9x | 161 | 53% |
| MACD fast=17, slow=44, signal=17 |
-1.9% | -46.1% | -0.04 | -0.04 | 0.7x | 234 | 50% |
| Buy and hold | 8.4% | -62.1% | 0.45 | 0.13 | 4.7x | 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 116 days
- Sell — Sell when price breaks below the lowest low of the last 79 days