Trend-Following Backtester · Guide · backtest 한국어
etf · US
ERShares Private-Public Crossover ETF backtest
10 trend-following strategies were compared on the full daily history of ERShares Private-Public Crossover ETF. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 3.8%, MDD -27.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.6%, drawdown -72.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.0%, MDD -28.7%, Sharpe 0.57, 62% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 44.1%p (CAGR 3.8%, MDD -27.9%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=9, slow=60 |
9.0% | -28.7% | 0.57 | 0.31 | 2.1x | 45 | 62% |
| SMA 크로스오버 fast=8, slow=65 |
8.4% | -34.8% | 0.54 | 0.24 | 2.0x | 51 | 60% |
| Donchian 채널 돌파 entryN=39, exitN=30 |
7.3% | -36.1% | 0.50 | 0.20 | 1.9x | 28 | 55% |
| ROC 모멘텀 n=62, threshold=-0.03 |
6.9% | -43.1% | 0.44 | 0.16 | 1.8x | 75 | 68% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=28, mult=1.5 |
5.6% | -36.1% | 0.42 | 0.15 | 1.6x | 57 | 54% |
| Supertrend period=19, mult=4.7 |
5.3% | -49.5% | 0.39 | 0.11 | 1.6x | 50 | 59% |
| Parabolic SAR step=0.015, maxStep=0.08 |
3.8% | -27.9% | 0.30 | 0.14 | 1.4x | 121 | 61% |
| ADX / DI 방향성 period=34, threshold=30 |
0.1% | -1.0% | 0.20 | 0.14 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=61, k=2.8 |
0.6% | -14.4% | 0.12 | 0.04 | 1.1x | 6 | 8% |
| MACD fast=10, slow=32, signal=14 |
-2.7% | -45.6% | -0.07 | -0.06 | 0.8x | 149 | 53% |
| Buy and hold | 3.6% | -72.8% | 0.28 | 0.05 | 1.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 9-day EMA crosses above the 60-day EMA
- Sell — Sell when the 9-day EMA falls below the 60-day EMA