Trend-Following Backtester · Guide · backtest 한국어
etf · US
Principal U.S. Mega-Cap ETF backtest
10 trend-following strategies were compared on the full daily history of Principal U.S. Mega-Cap 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 13.1%, drawdown -30.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.0%, MDD -13.8%, Sharpe 0.79, 65% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.2%, MDD -18.3%, exposure 74%.
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=80, exitN=65 |
8.0% | -13.8% | 0.79 | 0.58 | 2.0x | 13 | 65% |
| SMA 크로스오버 fast=13, slow=179 |
9.2% | -18.3% | 0.79 | 0.50 | 2.2x | 13 | 74% |
| EMA 크로스오버 fast=31, slow=44 |
8.1% | -27.0% | 0.72 | 0.30 | 2.0x | 25 | 75% |
| Supertrend period=13, mult=4.4 |
5.9% | -24.7% | 0.64 | 0.24 | 1.6x | 45 | 61% |
| MACD fast=13, slow=72, signal=19 |
5.7% | -16.3% | 0.62 | 0.35 | 1.6x | 78 | 53% |
| ROC 모멘텀 n=146, threshold=-0.03 |
6.5% | -25.7% | 0.54 | 0.25 | 1.7x | 37 | 82% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=23, mult=1.5 |
4.1% | -13.9% | 0.48 | 0.30 | 1.4x | 66 | 60% |
| 볼린저 밴드 돌파 n=55, k=0.7 |
4.0% | -22.6% | 0.44 | 0.18 | 1.4x | 62 | 64% |
| Parabolic SAR step=0.01, maxStep=0.16 |
2.7% | -18.9% | 0.29 | 0.14 | 1.3x | 132 | 64% |
| ADX / DI 방향성 period=20, threshold=39 |
-0.1% | -7.4% | -0.03 | -0.01 | 1.0x | 2 | 2% |
| Buy and hold | 13.1% | -30.0% | 0.77 | 0.44 | 3.0x | 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 80 days
- Sell — Sell when price breaks below the lowest low of the last 65 days