Trend-Following Backtester · Guide · backtest 한국어
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RISE 미국나스닥100 backtest
10 trend-following strategies were compared on the full daily history of RISE 미국나스닥100. 1 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 21.3%, MDD -12.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 20.5%, drawdown -31.3%).
Sharpe leader (same as main): MACD — CAGR 20.5%, MDD -14.9%, Sharpe 1.75, 47% exposure.
CAGR reference leader: Supertrend — CAGR 21.3%, MDD -12.2%, exposure 57%.
Return/drawdown alternative: Supertrend — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 16.4%p (CAGR 21.3%, MDD -12.2%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=22, slow=56, signal=24 |
20.5% | -14.9% | 1.75 | 1.38 | 3.0x | 30 | 47% |
| Supertrend period=5, mult=4.5 |
21.3% | -12.2% | 1.73 | 1.75 | 3.1x | 24 | 57% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=11, mult=2.6 |
16.9% | -11.3% | 1.49 | 1.50 | 2.5x | 28 | 52% |
| Donchian 채널 돌파 entryN=37, exitN=13 |
16.7% | -10.8% | 1.45 | 1.54 | 2.5x | 30 | 51% |
| EMA 크로스오버 fast=8, slow=41 |
19.3% | -12.7% | 1.36 | 1.52 | 2.8x | 28 | 69% |
| 볼린저 밴드 돌파 n=37, k=1.5 |
15.9% | -14.3% | 1.35 | 1.11 | 2.4x | 30 | 54% |
| Parabolic SAR step=0.01, maxStep=0.04 |
17.8% | -14.8% | 1.32 | 1.21 | 2.6x | 42 | 66% |
| ROC 모멘텀 n=52, threshold=-0.01 |
15.9% | -16.9% | 1.10 | 0.95 | 2.4x | 30 | 71% |
| SMA 크로스오버 fast=21, slow=127 |
15.8% | -21.1% | 1.09 | 0.75 | 2.3x | 11 | 70% |
| ADX / DI 방향성 period=9, threshold=32 |
3.6% | -14.7% | 0.48 | 0.24 | 1.2x | 54 | 27% |
| Buy and hold | 20.5% | -31.3% | 1.04 | 0.66 | 3.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (22/56) crosses above its 24-day signal line
- Sell — Sell when the MACD line crosses back below the signal line