Trend-Following Backtester · Guide · backtest 한국어
etf · US
ARK Innovation ETF backtest
10 trend-following strategies were compared on the full daily history of ARK Innovation ETF. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.0%, MDD -23.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.8%, drawdown -81.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.0%, MDD -23.1%, Sharpe 0.67, 33% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 12.7%, MDD -48.1%, exposure 59%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 57.9%p (CAGR 11.0%, MDD -23.1%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=14 |
11.0% | -23.1% | 0.67 | 0.48 | 3.4x | 68 | 33% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=23, mult=2.6 |
11.2% | -33.4% | 0.65 | 0.34 | 3.5x | 51 | 41% |
| EMA 크로스오버 fast=18, slow=23 |
12.7% | -48.1% | 0.62 | 0.26 | 4.1x | 75 | 59% |
| Supertrend period=22, mult=3.6 |
12.6% | -54.9% | 0.61 | 0.23 | 4.1x | 81 | 57% |
| 볼린저 밴드 돌파 n=54, k=1.2 |
10.9% | -37.7% | 0.59 | 0.29 | 3.4x | 65 | 48% |
| SMA 크로스오버 fast=53, slow=204 |
11.8% | -56.7% | 0.55 | 0.21 | 3.8x | 19 | 57% |
| Donchian 채널 돌파 entryN=101, exitN=25 |
7.4% | -42.1% | 0.49 | 0.18 | 2.3x | 27 | 34% |
| ROC 모멘텀 n=131, threshold=0.06 |
8.1% | -54.7% | 0.45 | 0.15 | 2.5x | 79 | 50% |
| Parabolic SAR step=0.02, maxStep=0.14 |
4.8% | -64.4% | 0.31 | 0.08 | 1.7x | 241 | 58% |
| MACD fast=19, slow=47, signal=12 |
0.1% | -67.9% | 0.13 | 0.00 | 1.0x | 157 | 53% |
| Buy and hold | 12.8% | -81.1% | 0.51 | 0.16 | 4.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 14
- Sell — Sell when direction flips or the trend weakens (ADX < 14)