Trend-Following Backtester · Guide · backtest 한국어
etf · US
Anfield Universal Fixed Income ETF backtest
10 trend-following strategies were compared on the full daily history of Anfield Universal Fixed Income ETF. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.2%, MDD -1.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.9%, drawdown -14.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.6%, MDD -3.4%, Sharpe 0.23, 48% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 11.4%p (CAGR -0.2%, MDD -1.4%, exposure 0%).
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=100, slow=216 |
0.6% | -3.4% | 0.23 | 0.17 | 1.0x | 4 | 48% |
| EMA 크로스오버 fast=35, slow=203 |
-0.5% | -9.5% | -0.08 | -0.05 | 1.0x | 7 | 44% |
| Donchian 채널 돌파 entryN=46, exitN=96 |
-0.7% | -11.2% | -0.15 | -0.06 | 0.9x | 4 | 42% |
| ADX / DI 방향성 period=27, threshold=35 |
-0.3% | -3.5% | -0.26 | -0.10 | 1.0x | 5 | 8% |
| 볼린저 밴드 돌파 n=32, k=3.3 |
-0.4% | -4.9% | -0.34 | -0.09 | 1.0x | 2 | 0% |
| Supertrend period=9, mult=3.6 |
-1.0% | -10.2% | -0.35 | -0.10 | 0.9x | 12 | 42% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=28, mult=3.3 |
-0.6% | -4.9% | -0.44 | -0.11 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=98, threshold=0.07 |
-0.2% | -1.4% | -0.48 | -0.13 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.5% | -30.6% | -1.19 | -0.15 | 0.7x | 56 | 51% |
| MACD fast=14, slow=46, signal=19 |
-10.4% | -58.5% | -2.34 | -0.18 | 0.4x | 125 | 50% |
| Buy and hold | -0.9% | -14.8% | -0.11 | -0.06 | 0.9x | 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 100-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 100-day average falls below the 216-day average