Trend-Following Backtester · Guide · backtest 한국어
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Fuh Hwa FTSE Mortgage REITs ETF backtest
10 trend-following strategies were compared on the full daily history of Fuh Hwa FTSE Mortgage REITs ETF. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -6.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.8%, drawdown -66.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.9%, MDD -9.2%, Sharpe 0.41, 9% exposure.
CAGR reference leader: MACD — CAGR 2.8%, MDD -29.8%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.7%p higher than buy and hold, while drawdown improves by 57.2%p (CAGR 0.4%, MDD -6.1%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=130, threshold=0.14 |
1.9% | -9.2% | 0.41 | 0.21 | 1.2x | 26 | 9% |
| 볼린저 밴드 돌파 n=32, k=3.5 |
1.3% | -6.8% | 0.39 | 0.19 | 1.1x | 4 | 4% |
| MACD fast=9, slow=22, signal=16 |
2.8% | -29.8% | 0.26 | 0.09 | 1.3x | 134 | 52% |
| ADX / DI 방향성 period=37, threshold=22 |
0.4% | -6.1% | 0.17 | 0.06 | 1.0x | 6 | 2% |
| Supertrend period=22, mult=3.9 |
-0.9% | -36.0% | 0.03 | -0.03 | 0.9x | 76 | 51% |
| Donchian 채널 돌파 entryN=15, exitN=17 |
-1.1% | -26.7% | -0.03 | -0.04 | 0.9x | 74 | 54% |
| EMA 크로스오버 fast=7, slow=23 |
-2.0% | -33.3% | -0.11 | -0.06 | 0.8x | 90 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-3.1% | -38.6% | -0.12 | -0.08 | 0.7x | 126 | 50% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=12, mult=2.6 |
-1.6% | -24.1% | -0.13 | -0.07 | 0.9x | 44 | 33% |
| SMA 크로스오버 fast=64, slow=148 |
-7.4% | -61.2% | -0.42 | -0.12 | 0.5x | 20 | 36% |
| Buy and hold | -8.8% | -66.3% | -0.19 | -0.13 | 0.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 130-day return is greater than 14%
- Sell — Sell when the 130-day return drops to 14% or below