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 12.3%, MDD -27.5%, Sharpe 0.80, 90% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 12.8%, MDD -27.6%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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=17, exitN=105 |
12.3% | -27.5% | 0.80 | 0.45 | 5.2x | 17 | 90% |
| ROC 모멘텀 Hold-like · Exposure 97% n=34, threshold=-0.13 |
12.8% | -27.6% | 0.78 | 0.46 | 5.5x | 13 | 97% |
| EMA 크로스오버 fast=43, slow=136 |
10.5% | -28.6% | 0.74 | 0.37 | 4.1x | 11 | 79% |
| SMA 크로스오버 fast=6, slow=245 |
9.6% | -21.9% | 0.73 | 0.44 | 3.7x | 23 | 75% |
| Supertrend period=30, mult=3.7 |
5.8% | -30.8% | 0.50 | 0.19 | 2.2x | 85 | 68% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=8, mult=3.7 |
1.4% | -9.3% | 0.40 | 0.15 | 1.2x | 10 | 5% |
| 볼린저 밴드 돌파 n=39, k=2.7 |
1.1% | -17.6% | 0.21 | 0.06 | 1.2x | 18 | 11% |
| ADX / DI 방향성 period=33, threshold=11 |
1.6% | -37.6% | 0.20 | 0.04 | 1.2x | 120 | 44% |
| MACD fast=16, slow=26, signal=18 |
1.3% | -27.5% | 0.17 | 0.05 | 1.2x | 192 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-0.3% | -40.4% | 0.04 | -0.01 | 1.0x | 262 | 59% |
| Buy and hold | 13.0% | -33.0% | 0.73 | 0.39 | 5.6x | 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 17 days
- Sell — Sell when price breaks below the lowest low of the last 105 days