Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Nasdaq-100 Select Equal Weight ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust Nasdaq-100 Select Equal Weight ETF. 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 8.2%, MDD -25.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.7%, drawdown -58.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.5%, MDD -21.3%, Sharpe 0.63, 62% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.2%, MDD -25.8%, exposure 74%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 36.9%p (CAGR 8.2%, MDD -25.8%, exposure 74%).
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=109, exitN=55 |
7.5% | -21.3% | 0.63 | 0.35 | 4.3x | 31 | 62% |
| EMA 크로스오버 fast=49, slow=72 |
8.2% | -25.8% | 0.62 | 0.32 | 4.9x | 37 | 74% |
| SMA 크로스오버 fast=57, slow=94 |
7.4% | -31.1% | 0.54 | 0.24 | 4.3x | 47 | 72% |
| ROC 모멘텀 n=140, threshold=-0.02 |
6.5% | -28.8% | 0.50 | 0.23 | 3.6x | 107 | 77% |
| Supertrend period=21, mult=5 |
5.2% | -24.9% | 0.46 | 0.21 | 2.8x | 79 | 64% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=13, mult=1.8 |
2.2% | -28.8% | 0.25 | 0.07 | 1.5x | 150 | 53% |
| 볼린저 밴드 돌파 n=59, k=1.1 |
1.8% | -28.1% | 0.21 | 0.06 | 1.4x | 130 | 56% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.6% | -44.8% | 0.12 | 0.01 | 1.1x | 192 | 63% |
| MACD fast=10, slow=64, signal=7 |
-2.1% | -54.1% | -0.09 | -0.04 | 0.6x | 398 | 53% |
| ADX / DI 방향성 period=18, threshold=38 |
-0.1% | -3.8% | -0.19 | -0.03 | 1.0x | 2 | 0% |
| Buy and hold | 10.7% | -58.2% | 0.58 | 0.18 | 7.9x | 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 109 days
- Sell — Sell when price breaks below the lowest low of the last 55 days