Trend-Following Backtester · Guide · backtest 한국어
etf · US
FT Vest Laddered Buffer ETF backtest
10 trend-following strategies were compared on the full daily history of FT Vest Laddered Buffer ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.7%, drawdown -13.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.1%, MDD -15.3%, Sharpe 1.02, 80% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.9%, MDD -14.3%, exposure 84%.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=21, slow=53 |
7.1% | -15.3% | 1.02 | 0.46 | 1.5x | 13 | 80% |
| ROC 모멘텀 n=117, threshold=-0.03 |
7.9% | -14.3% | 1.01 | 0.55 | 1.6x | 17 | 84% |
| Donchian 채널 돌파 entryN=92, exitN=59 |
5.8% | -8.1% | 1.00 | 0.71 | 1.4x | 9 | 67% |
| SMA 크로스오버 fast=44, slow=184 |
7.3% | -12.8% | 0.98 | 0.57 | 1.5x | 5 | 72% |
| Supertrend period=9, mult=4.8 |
4.9% | -9.1% | 0.79 | 0.53 | 1.3x | 19 | 73% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=9, mult=1.5 |
3.6% | -15.4% | 0.64 | 0.23 | 1.2x | 35 | 70% |
| 볼린저 밴드 돌파 n=36, k=3 |
0.4% | -2.2% | 0.34 | 0.20 | 1.0x | 2 | 3% |
| Parabolic SAR step=0.005, maxStep=0.22 |
1.5% | -18.7% | 0.26 | 0.08 | 1.1x | 60 | 61% |
| ADX / DI 방향성 period=38, threshold=16 |
0.6% | -8.9% | 0.20 | 0.07 | 1.0x | 22 | 29% |
| MACD fast=16, slow=43, signal=18 |
0.1% | -17.2% | 0.05 | 0.01 | 1.0x | 62 | 46% |
| Buy and hold | 10.7% | -13.7% | 1.05 | 0.78 | 1.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 21-day EMA crosses above the 53-day EMA
- Sell — Sell when the 21-day EMA falls below the 53-day EMA