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 8.4%, MDD -25.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -58.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.8%, MDD -21.3%, Sharpe 0.65, 63% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.4%, MDD -25.8%, exposure 74%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.1%p lower than buy and hold, while drawdown improves by 36.9%p (CAGR 8.4%, 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=105, exitN=56 |
7.8% | -21.3% | 0.65 | 0.37 | 4.6x | 31 | 63% |
| EMA 크로스오버 fast=49, slow=72 |
8.4% | -25.8% | 0.63 | 0.32 | 5.1x | 37 | 74% |
| SMA 크로스오버 fast=63, slow=168 |
8.1% | -30.8% | 0.58 | 0.26 | 4.9x | 21 | 72% |
| ROC 모멘텀 n=128, threshold=0 |
6.6% | -26.0% | 0.52 | 0.25 | 3.7x | 141 | 73% |
| Supertrend period=20, mult=4.9 |
5.5% | -24.9% | 0.48 | 0.22 | 3.0x | 81 | 64% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=15, mult=1.7 |
2.2% | -31.8% | 0.25 | 0.07 | 1.6x | 157 | 55% |
| 볼린저 밴드 돌파 n=52, k=1 |
1.7% | -31.3% | 0.20 | 0.05 | 1.4x | 151 | 56% |
| MACD fast=23, slow=59, signal=23 |
0.9% | -32.9% | 0.13 | 0.03 | 1.2x | 188 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.4% | -44.8% | 0.10 | 0.01 | 1.1x | 194 | 63% |
| ADX / DI 방향성 period=37, threshold=21 |
0.0% | -3.8% | 0.03 | 0.01 | 1.0x | 6 | 1% |
| Buy and hold | 10.9% | -58.2% | 0.59 | 0.19 | 8.3x | 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 105 days
- Sell — Sell when price breaks below the lowest low of the last 56 days