Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Cloud Computing ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust Cloud Computing 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 11.7%, MDD -24.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.8%, drawdown -53.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.3%, MDD -34.4%, Sharpe 0.76, 73% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 19.1%p (CAGR 11.7%, MDD -24.9%, 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=42, exitN=44 |
12.3% | -34.4% | 0.76 | 0.36 | 5.8x | 35 | 73% |
| EMA 크로스오버 fast=5, slow=152 |
11.7% | -24.9% | 0.75 | 0.47 | 5.4x | 43 | 74% |
| SMA 크로스오버 fast=13, slow=179 |
11.6% | -25.3% | 0.72 | 0.46 | 5.3x | 31 | 74% |
| ROC 모멘텀 n=131, threshold=-0.09 |
12.2% | -38.3% | 0.68 | 0.32 | 5.7x | 59 | 86% |
| Supertrend period=26, mult=4.7 |
7.1% | -47.9% | 0.50 | 0.15 | 2.8x | 63 | 65% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=21, mult=1.5 |
6.2% | -26.1% | 0.49 | 0.24 | 2.5x | 115 | 57% |
| 볼린저 밴드 돌파 n=50, k=1.3 |
4.7% | -26.8% | 0.39 | 0.17 | 2.0x | 105 | 54% |
| Parabolic SAR step=0.025, maxStep=0.06 |
3.4% | -52.6% | 0.29 | 0.07 | 1.7x | 233 | 62% |
| MACD fast=6, slow=39, signal=18 |
1.5% | -44.3% | 0.17 | 0.03 | 1.3x | 272 | 52% |
| ADX / DI 방향성 period=32, threshold=11 |
-0.7% | -38.6% | 0.01 | -0.02 | 0.9x | 155 | 38% |
| Buy and hold | 14.8% | -53.6% | 0.68 | 0.28 | 8.1x | 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 42 days
- Sell — Sell when price breaks below the lowest low of the last 44 days