Trend-Following Backtester · Guide · backtest 한국어
etf · CA
TD Active Global Enhanced Dividend ETF backtest
10 trend-following strategies were compared on the full daily history of TD Active Global Enhanced Dividend ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.3%, MDD -15.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.1%, drawdown -26.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.3%, MDD -15.7%, Sharpe 0.83, 70% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.0%, MDD -21.4%, exposure 88%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 10.7%p (CAGR 10.3%, MDD -15.7%, exposure 70%).
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=19, slow=238 |
10.3% | -15.7% | 0.83 | 0.65 | 2.0x | 5 | 70% |
| Donchian 채널 돌파 entryN=18, exitN=71 |
11.0% | -21.4% | 0.83 | 0.52 | 2.2x | 13 | 88% |
| EMA 크로스오버 fast=19, slow=101 |
8.7% | -14.1% | 0.71 | 0.62 | 1.8x | 14 | 76% |
| ROC 모멘텀 n=73, threshold=-0.04 |
7.8% | -20.3% | 0.62 | 0.38 | 1.7x | 24 | 82% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=8, mult=1.4 |
5.8% | -15.6% | 0.56 | 0.37 | 1.5x | 42 | 66% |
| 볼린저 밴드 돌파 n=46, k=2.8 |
1.0% | -4.2% | 0.48 | 0.24 | 1.1x | 2 | 3% |
| ADX / DI 방향성 period=33, threshold=19 |
1.8% | -11.8% | 0.41 | 0.16 | 1.1x | 18 | 14% |
| Supertrend period=20, mult=4.6 |
4.2% | -16.5% | 0.41 | 0.26 | 1.4x | 36 | 69% |
| MACD fast=12, slow=52, signal=16 |
-0.7% | -23.4% | -0.02 | -0.03 | 0.9x | 106 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.7% | -35.8% | -0.10 | -0.05 | 0.9x | 76 | 63% |
| Buy and hold | 11.1% | -26.5% | 0.70 | 0.42 | 2.2x | 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 19-day average price crosses above the 238-day average
- Sell — Sell (to cash) when the 19-day average falls below the 238-day average