Trend-Following Backtester · Guide · backtest 한국어
etf · US
ARK Genomic Revolution ETF backtest
10 trend-following strategies were compared on the full daily history of ARK Genomic Revolution ETF. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.7%, MDD -41.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.7%, drawdown -83.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.7%, MDD -41.9%, Sharpe 0.66, 47% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 9.0%p higher than buy and hold, while drawdown improves by 41.8%p (CAGR 14.7%, MDD -41.9%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=102, slow=235 |
14.7% | -41.9% | 0.66 | 0.35 | 5.0x | 3 | 47% |
| SMA 크로스오버 fast=42, slow=233 |
9.9% | -56.8% | 0.48 | 0.17 | 3.0x | 17 | 50% |
| ADX / DI 방향성 period=30, threshold=13 |
5.7% | -44.2% | 0.38 | 0.13 | 1.9x | 79 | 30% |
| ROC 모멘텀 n=126, threshold=0.07 |
5.4% | -51.7% | 0.34 | 0.10 | 1.9x | 105 | 38% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
0.6% | -4.5% | 0.33 | 0.12 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=17, exitN=74 |
3.0% | -75.1% | 0.26 | 0.04 | 1.4x | 35 | 82% |
| Supertrend period=24, mult=2.2 |
1.8% | -77.5% | 0.20 | 0.02 | 1.2x | 158 | 54% |
| MACD fast=17, slow=25, signal=15 |
-0.2% | -66.3% | 0.13 | -0.00 | 1.0x | 166 | 51% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=18, mult=1.4 |
-2.0% | -63.3% | 0.03 | -0.03 | 0.8x | 103 | 42% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-5.0% | -79.1% | -0.05 | -0.06 | 0.5x | 224 | 52% |
| Buy and hold | 5.7% | -83.7% | 0.34 | 0.07 | 1.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 102-day EMA crosses above the 235-day EMA
- Sell — Sell when the 102-day EMA falls below the 235-day EMA