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 16.5%, MDD -41.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.4%, drawdown -83.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.5%, MDD -41.9%, Sharpe 0.71, 48% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 41.8%p (CAGR 16.5%, MDD -41.9%, exposure 48%).
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 |
16.5% | -41.9% | 0.71 | 0.39 | 6.1x | 3 | 48% |
| SMA 크로스오버 fast=42, slow=233 |
11.7% | -56.8% | 0.54 | 0.21 | 3.7x | 17 | 50% |
| ADX / DI 방향성 period=30, threshold=13 |
7.5% | -44.2% | 0.46 | 0.17 | 2.4x | 79 | 30% |
| ROC 모멘텀 n=126, threshold=0.07 |
7.2% | -51.7% | 0.42 | 0.14 | 2.3x | 105 | 39% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
0.5% | -4.5% | 0.33 | 0.12 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=17, exitN=74 |
4.8% | -75.1% | 0.31 | 0.06 | 1.7x | 35 | 83% |
| Supertrend period=24, mult=2.2 |
3.1% | -77.5% | 0.25 | 0.04 | 1.4x | 159 | 54% |
| MACD fast=17, slow=25, signal=15 |
0.3% | -66.3% | 0.15 | 0.00 | 1.0x | 167 | 52% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=18, mult=1.4 |
-0.3% | -63.3% | 0.11 | -0.01 | 1.0x | 103 | 43% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-3.6% | -79.1% | 0.00 | -0.05 | 0.6x | 226 | 53% |
| Buy and hold | 7.4% | -83.7% | 0.38 | 0.09 | 2.3x | 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