Trend-Following Backtester · Guide · backtest 한국어
etf · BR
Trend ETF Nasdaq 100 Fundo de Indice backtest
10 trend-following strategies were compared on the full daily history of Trend ETF Nasdaq 100 Fundo de Indice. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.3%, MDD -16.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 14.8%, drawdown -41.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.1%, MDD -18.4%, Sharpe 1.06, 61% exposure.
CAGR reference leader: Supertrend — CAGR 16.0%, MDD -23.4%, exposure 68%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 23.0%p (CAGR 14.3%, MDD -16.3%, exposure 69%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=18, slow=206 |
15.1% | -18.4% | 1.06 | 0.82 | 2.1x | 5 | 61% |
| Supertrend period=13, mult=3.6 |
16.0% | -23.4% | 1.04 | 0.68 | 2.2x | 19 | 68% |
| EMA 크로스오버 fast=14, slow=49 |
14.3% | -16.3% | 0.93 | 0.88 | 2.0x | 19 | 69% |
| ROC 모멘텀 n=50, threshold=-0.08 |
15.7% | -30.5% | 0.92 | 0.52 | 2.2x | 23 | 81% |
| Donchian 채널 돌파 entryN=20, exitN=19 |
13.3% | -26.6% | 0.86 | 0.50 | 1.9x | 23 | 68% |
| 볼린저 밴드 돌파 n=50, k=1.1 |
10.6% | -19.1% | 0.78 | 0.56 | 1.7x | 32 | 57% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=21, mult=1.4 |
10.3% | -16.2% | 0.78 | 0.64 | 1.7x | 34 | 54% |
| ADX / DI 방향성 period=31, threshold=15 |
5.3% | -18.0% | 0.45 | 0.29 | 1.3x | 32 | 45% |
| MACD fast=15, slow=29, signal=19 |
5.2% | -29.1% | 0.42 | 0.18 | 1.3x | 57 | 47% |
| Parabolic SAR step=0.005, maxStep=0.18 |
4.2% | -36.1% | 0.35 | 0.12 | 1.2x | 47 | 59% |
| Buy and hold | 14.8% | -41.5% | 0.73 | 0.36 | 2.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 18-day average price crosses above the 206-day average
- Sell — Sell (to cash) when the 18-day average falls below the 206-day average