Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust NASDAQ Clean Edge Smart Grid Infrastructure Index Fund backtest
10 trend-following strategies were compared on the full daily history of First Trust NASDAQ Clean Edge Smart Grid Infrastructure Index Fund. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.2%, drawdown -40.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.0%, MDD -40.6%, Sharpe 0.54, 67% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=28, slow=219 |
8.0% | -40.6% | 0.54 | 0.20 | 3.6x | 19 | 67% |
| EMA 크로스오버 fast=21, slow=74 |
7.3% | -27.8% | 0.51 | 0.26 | 3.2x | 48 | 67% |
| Donchian 채널 돌파 entryN=84, exitN=72 |
6.8% | -24.6% | 0.50 | 0.28 | 3.0x | 22 | 64% |
| ROC 모멘텀 n=119, threshold=-0.03 |
7.2% | -29.2% | 0.49 | 0.25 | 3.2x | 103 | 74% |
| ADX / DI 방향성 period=59, threshold=22 |
1.1% | -7.2% | 0.37 | 0.16 | 1.2x | 2 | 5% |
| Supertrend period=22, mult=4.9 |
2.3% | -58.9% | 0.22 | 0.04 | 1.5x | 92 | 63% |
| Parabolic SAR step=0.01, maxStep=0.12 |
0.5% | -47.8% | 0.11 | 0.01 | 1.1x | 232 | 58% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=15, mult=1.7 |
0.5% | -41.5% | 0.10 | 0.01 | 1.1x | 170 | 39% |
| MACD fast=15, slow=24, signal=11 |
-0.3% | -49.6% | 0.05 | -0.01 | 1.0x | 260 | 50% |
| 볼린저 밴드 돌파 n=20, k=1.6 |
-0.1% | -54.5% | 0.05 | -0.00 | 1.0x | 188 | 40% |
| Buy and hold | 11.2% | -40.6% | 0.57 | 0.28 | 5.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 28-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 28-day average falls below the 219-day average