Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Low Duration Opportunities ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust Low Duration Opportunities ETF. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -0.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.1%, drawdown -11.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -0.6%, Sharpe 0.27, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.2%, MDD -5.8%, exposure 43%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 11.1%p (CAGR 0.1%, MDD -0.6%, exposure 3%).
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=29, threshold=34 |
0.1% | -0.6% | 0.27 | 0.22 | 1.0x | 2 | 3% |
| 볼린저 밴드 돌파 n=60, k=3.5 |
0.1% | -1.3% | 0.17 | 0.10 | 1.0x | 2 | 7% |
| SMA 크로스오버 fast=32, slow=261 |
0.2% | -5.8% | 0.12 | 0.04 | 1.0x | 8 | 43% |
| EMA 크로스오버 fast=66, slow=174 |
0.1% | -5.3% | 0.07 | 0.02 | 1.0x | 8 | 45% |
| ROC 모멘텀 Hold-like · Exposure 97% n=101, threshold=-0.04 |
-0.3% | -12.7% | -0.11 | -0.03 | 1.0x | 3 | 97% |
| Donchian 채널 돌파 entryN=100, exitN=65 |
-0.4% | -9.2% | -0.23 | -0.04 | 1.0x | 10 | 33% |
| Supertrend period=26, mult=5 |
-0.7% | -8.5% | -0.34 | -0.08 | 0.9x | 22 | 40% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=20, mult=3.6 |
-0.1% | -1.7% | -0.38 | -0.09 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.0% | -38.7% | -1.76 | -0.10 | 0.6x | 86 | 51% |
| MACD fast=29, slow=83, signal=26 |
-4.0% | -37.9% | -1.85 | -0.10 | 0.6x | 90 | 47% |
| Buy and hold | -0.1% | -11.8% | -0.04 | -0.01 | 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, 29-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)