Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust NASDAQ Technology Dividend Index Fund backtest
10 trend-following strategies were compared on the full daily history of First Trust NASDAQ Technology Dividend Index Fund. 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 13.0%, drawdown -33.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.6%, MDD -27.5%, Sharpe 0.77, 89% 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=19, exitN=105 |
11.6% | -27.5% | 0.77 | 0.42 | 4.7x | 17 | 89% |
| EMA 크로스오버 fast=51, slow=108 |
10.0% | -28.6% | 0.71 | 0.35 | 3.8x | 13 | 80% |
| SMA 크로스오버 fast=20, slow=178 |
9.3% | -28.6% | 0.68 | 0.33 | 3.5x | 17 | 77% |
| ROC 모멘텀 n=128, threshold=-0.04 |
7.7% | -35.1% | 0.56 | 0.22 | 2.8x | 75 | 83% |
| Supertrend period=25, mult=4 |
6.1% | -24.2% | 0.52 | 0.25 | 2.3x | 72 | 69% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=21, mult=3.7 |
2.0% | -20.1% | 0.29 | 0.10 | 1.3x | 38 | 25% |
| 볼린저 밴드 돌파 n=45, k=2.3 |
1.3% | -15.3% | 0.20 | 0.09 | 1.2x | 42 | 27% |
| MACD fast=17, slow=26, signal=17 |
1.7% | -27.5% | 0.20 | 0.06 | 1.3x | 188 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-0.3% | -40.4% | 0.04 | -0.01 | 1.0x | 259 | 59% |
| ADX / DI 방향성 period=30, threshold=18 |
-1.3% | -35.0% | -0.15 | -0.04 | 0.8x | 46 | 19% |
| Buy and hold | 13.0% | -33.0% | 0.73 | 0.39 | 5.5x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 105 days