Trend-Following Backtester · Guide · backtest 한국어
etf · US
Aptus Collared Income Opportunity ETF backtest
10 trend-following strategies were compared on the full daily history of Aptus Collared Income Opportunity ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 8.9%, drawdown -14.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -12.2%, Sharpe 0.94, 71% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.4%, MDD -15.3%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=43, slow=234 |
8.1% | -12.2% | 0.94 | 0.66 | 1.7x | 5 | 71% |
| ROC 모멘텀 Hold-like · Exposure 98% n=23, threshold=-0.08 |
9.4% | -15.3% | 0.84 | 0.61 | 1.9x | 7 | 98% |
| EMA 크로스오버 fast=47, slow=189 |
7.3% | -12.2% | 0.83 | 0.60 | 1.6x | 5 | 72% |
| Supertrend period=19, mult=4.8 |
4.0% | -17.1% | 0.57 | 0.23 | 1.3x | 24 | 64% |
| Donchian 채널 돌파 entryN=22, exitN=49 |
4.3% | -22.1% | 0.53 | 0.20 | 1.3x | 22 | 77% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=19, mult=2.7 |
0.8% | -2.8% | 0.48 | 0.27 | 1.1x | 4 | 4% |
| ADX / DI 방향성 period=28, threshold=24 |
1.3% | -7.7% | 0.34 | 0.17 | 1.1x | 16 | 17% |
| 볼린저 밴드 돌파 n=57, k=3.2 |
0.7% | -3.2% | 0.33 | 0.22 | 1.1x | 2 | 6% |
| Parabolic SAR step=0.005, maxStep=0.16 |
2.0% | -17.6% | 0.29 | 0.11 | 1.1x | 62 | 63% |
| MACD fast=19, slow=43, signal=21 |
0.6% | -25.1% | 0.11 | 0.02 | 1.0x | 68 | 48% |
| Buy and hold | 8.9% | -14.9% | 0.79 | 0.59 | 1.8x | 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 43-day average price crosses above the 234-day average
- Sell — Sell (to cash) when the 43-day average falls below the 234-day average