Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust SMID Cap Rising Dividend Achievers ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust SMID Cap Rising Dividend Achievers ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -45.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -38.7%, Sharpe 0.38, 81% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=24, exitN=79 |
5.6% | -38.7% | 0.38 | 0.14 | 1.6x | 23 | 81% |
| EMA 크로스오버 fast=18, slow=151 |
4.6% | -33.2% | 0.36 | 0.14 | 1.5x | 21 | 65% |
| ADX / DI 방향성 period=35, threshold=23 |
1.6% | -8.6% | 0.35 | 0.18 | 1.1x | 8 | 6% |
| SMA 크로스오버 fast=37, slow=99 |
4.2% | -32.1% | 0.35 | 0.13 | 1.4x | 25 | 62% |
| Supertrend period=11, mult=4.3 |
3.5% | -26.1% | 0.30 | 0.13 | 1.4x | 53 | 60% |
| Parabolic SAR step=0.015, maxStep=0.02 |
3.1% | -34.7% | 0.26 | 0.09 | 1.3x | 51 | 63% |
| ROC 모멘텀 n=116, threshold=-0.02 |
2.2% | -34.3% | 0.21 | 0.06 | 1.2x | 69 | 69% |
| 볼린저 밴드 돌파 n=42, k=3.3 |
1.1% | -16.0% | 0.20 | 0.07 | 1.1x | 8 | 8% |
| MACD fast=12, slow=49, signal=17 |
-0.9% | -31.0% | 0.03 | -0.03 | 0.9x | 111 | 49% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=17, mult=0.8 |
-1.8% | -44.1% | -0.04 | -0.04 | 0.9x | 111 | 56% |
| Buy and hold | 9.4% | -45.2% | 0.49 | 0.21 | 2.2x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 79 days