Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Rising Dividend Achievers ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust Rising Dividend Achievers ETF. 0 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
0 of 10 beat buy and hold (CAGR 11.7%, drawdown -40.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.3%, MDD -28.5%, Sharpe 0.70, 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=9, threshold=-0.07 |
11.3% | -28.5% | 0.70 | 0.40 | 3.9x | 43 | 97% |
| Donchian 채널 돌파 entryN=20, exitN=56 |
8.4% | -23.6% | 0.61 | 0.36 | 2.8x | 31 | 84% |
| EMA 크로스오버 fast=59, slow=67 |
7.8% | -28.2% | 0.61 | 0.28 | 2.6x | 17 | 77% |
| SMA 크로스오버 fast=42, slow=114 |
8.0% | -32.4% | 0.60 | 0.25 | 2.6x | 23 | 72% |
| Supertrend period=30, mult=4.8 |
3.8% | -26.2% | 0.35 | 0.15 | 1.6x | 59 | 68% |
| 볼린저 밴드 돌파 n=47, k=2.9 |
1.1% | -14.0% | 0.28 | 0.08 | 1.1x | 11 | 8% |
| ADX / DI 방향성 period=20, threshold=27 |
0.3% | -7.1% | 0.11 | 0.04 | 1.0x | 14 | 6% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=27, mult=1.5 |
-0.1% | -33.9% | 0.05 | -0.00 | 1.0x | 105 | 58% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-0.3% | -31.0% | 0.05 | -0.01 | 1.0x | 189 | 63% |
| MACD fast=14, slow=23, signal=10 |
-2.1% | -32.9% | -0.12 | -0.07 | 0.8x | 244 | 50% |
| Buy and hold | 11.7% | -40.6% | 0.65 | 0.29 | 4.0x | 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 9-day return is greater than -7%
- Sell — Sell when the 9-day return drops to -7% or below