Trend-Following Backtester · Guide · backtest 한국어
etf · DE
US Research Enhanced Index Equity Active UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of US Research Enhanced Index Equity Active UCITS ETF. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 14.4%, MDD -21.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.3%, drawdown -33.7%).
Sharpe leader (same as main): Supertrend — CAGR 11.4%, MDD -14.4%, Sharpe 1.02, 71% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.4%, MDD -21.5%, exposure 92%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.9%p lower than buy and hold, while drawdown improves by 19.3%p (CAGR 14.4%, MDD -21.5%, exposure 92%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=14, mult=5 |
11.4% | -14.4% | 1.02 | 0.79 | 2.3x | 41 | 71% |
| ROC 모멘텀 n=46, threshold=-0.09 |
14.4% | -21.5% | 1.01 | 0.67 | 2.9x | 21 | 92% |
| Donchian 채널 돌파 entryN=12, exitN=55 |
13.8% | -25.9% | 0.98 | 0.53 | 2.8x | 19 | 90% |
| EMA 크로스오버 fast=16, slow=81 |
11.5% | -22.6% | 0.94 | 0.51 | 2.4x | 21 | 78% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=1.9 |
9.1% | -11.2% | 0.88 | 0.81 | 2.0x | 45 | 67% |
| SMA 크로스오버 fast=9, slow=56 |
9.8% | -17.8% | 0.84 | 0.55 | 2.1x | 37 | 75% |
| 볼린저 밴드 돌파 n=53, k=1.3 |
7.3% | -12.6% | 0.75 | 0.58 | 1.7x | 42 | 60% |
| MACD fast=19, slow=31, signal=17 |
4.6% | -17.6% | 0.51 | 0.26 | 1.4x | 98 | 50% |
| ADX / DI 방향성 period=27, threshold=12 |
4.1% | -21.8% | 0.45 | 0.19 | 1.4x | 81 | 60% |
| Parabolic SAR step=0.015, maxStep=0.26 |
2.1% | -25.8% | 0.24 | 0.08 | 1.2x | 128 | 66% |
| Buy and hold | 15.3% | -33.7% | 0.92 | 0.45 | 3.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 14-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)