Trend-Following Backtester · Guide · backtest 한국어
etf · US
Alpha Architect U.S. Quantitative Value ETF backtest
10 trend-following strategies were compared on the full daily history of Alpha Architect U.S. Quantitative Value ETF. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.6%, MDD -32.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.4%, drawdown -53.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.2%, MDD -3.6%, Sharpe 0.56, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.6%, MDD -32.4%, exposure 95%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.2%p lower than buy and hold, while drawdown improves by 49.7%p (CAGR 8.6%, MDD -32.4%, exposure 95%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=23, mult=3.8 |
1.2% | -3.6% | 0.56 | 0.34 | 1.2x | 4 | 2% |
| 볼린저 밴드 돌파 n=33, k=2.8 |
1.8% | -7.1% | 0.54 | 0.25 | 1.2x | 8 | 6% |
| Donchian 채널 돌파 entryN=3, exitN=75 |
8.6% | -32.4% | 0.53 | 0.27 | 2.7x | 43 | 95% |
| SMA 크로스오버 fast=52, slow=80 |
6.1% | -18.9% | 0.50 | 0.32 | 2.0x | 45 | 63% |
| ROC 모멘텀 n=73, threshold=-0.04 |
6.3% | -30.1% | 0.48 | 0.21 | 2.1x | 69 | 78% |
| EMA 크로스오버 fast=53, slow=67 |
4.9% | -32.8% | 0.42 | 0.15 | 1.8x | 23 | 69% |
| Supertrend period=17, mult=3.6 |
2.6% | -26.3% | 0.25 | 0.10 | 1.4x | 84 | 60% |
| ADX / DI 방향성 period=34, threshold=16 |
1.1% | -17.7% | 0.20 | 0.06 | 1.1x | 40 | 17% |
| MACD fast=13, slow=25, signal=19 |
-0.3% | -35.5% | 0.05 | -0.01 | 1.0x | 174 | 48% |
| Parabolic SAR step=0.025, maxStep=0.06 |
-1.2% | -33.1% | -0.01 | -0.03 | 0.9x | 186 | 59% |
| Buy and hold | 7.4% | -53.3% | 0.44 | 0.14 | 2.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 14-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average