Trend-Following Backtester · Guide · backtest 한국어
etf · US
Principal U.S. Small-Cap ETF backtest
10 trend-following strategies were compared on the full daily history of Principal U.S. Small-Cap ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 10.5%, drawdown -47.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.0%, MDD -28.3%, Sharpe 0.65, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 97% n=19, threshold=-0.11 |
12.0% | -28.3% | 0.65 | 0.42 | 3.0x | 19 | 97% |
| EMA 크로스오버 fast=27, slow=195 |
6.6% | -27.7% | 0.51 | 0.24 | 1.9x | 15 | 62% |
| 볼린저 밴드 돌파 n=26, k=3.1 |
2.6% | -11.2% | 0.44 | 0.23 | 1.3x | 14 | 9% |
| Donchian 채널 돌파 entryN=113, exitN=96 |
4.6% | -22.9% | 0.40 | 0.20 | 1.6x | 11 | 54% |
| SMA 크로스오버 fast=49, slow=92 |
4.1% | -38.7% | 0.33 | 0.11 | 1.5x | 27 | 64% |
| Supertrend period=23, mult=4 |
1.9% | -35.7% | 0.20 | 0.05 | 1.2x | 77 | 62% |
| MACD fast=16, slow=23, signal=15 |
0.4% | -35.7% | 0.10 | 0.01 | 1.0x | 144 | 51% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-0.4% | -47.4% | 0.05 | -0.01 | 1.0x | 164 | 58% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=26, mult=2.2 |
-1.4% | -31.0% | -0.05 | -0.05 | 0.9x | 73 | 47% |
| ADX / DI 방향성 period=32, threshold=12 |
-1.6% | -31.2% | -0.08 | -0.05 | 0.9x | 70 | 37% |
| Buy and hold | 10.5% | -47.9% | 0.55 | 0.22 | 2.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 19-day return is greater than -11%
- Sell — Sell when the 19-day return drops to -11% or below