Trend-Following Backtester · Guide · backtest 한국어
etf · US
Pacer US Small Cap Cash Cows ETF backtest
10 trend-following strategies were compared on the full daily history of Pacer US Small Cap Cash Cows ETF. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.7%, MDD -23.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.9%, drawdown -48.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -29.7%, Sharpe 0.61, 58% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.4%, MDD -39.8%, exposure 89%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 19.1%p (CAGR 8.7%, MDD -23.1%, exposure 60%).
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=33, slow=163 |
8.9% | -29.7% | 0.61 | 0.30 | 2.2x | 13 | 58% |
| EMA 크로스오버 fast=40, slow=118 |
8.7% | -23.1% | 0.60 | 0.38 | 2.1x | 15 | 60% |
| Supertrend period=25, mult=5 |
9.2% | -33.5% | 0.58 | 0.27 | 2.2x | 31 | 63% |
| Donchian 채널 돌파 entryN=109, exitN=51 |
7.5% | -23.6% | 0.58 | 0.32 | 1.9x | 13 | 49% |
| 볼린저 밴드 돌파 n=77, k=2.8 |
5.1% | -14.7% | 0.56 | 0.35 | 1.6x | 13 | 24% |
| ROC 모멘텀 n=55, threshold=-0.11 |
9.4% | -39.8% | 0.53 | 0.24 | 2.3x | 33 | 89% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=14, mult=1.4 |
3.7% | -31.8% | 0.32 | 0.12 | 1.4x | 63 | 52% |
| ADX / DI 방향성 period=24, threshold=24 |
1.3% | -14.1% | 0.23 | 0.09 | 1.1x | 20 | 8% |
| Parabolic SAR step=0.01, maxStep=0.34 |
0.8% | -45.1% | 0.13 | 0.02 | 1.1x | 129 | 57% |
| MACD fast=17, slow=49, signal=17 |
-2.1% | -45.9% | -0.05 | -0.05 | 0.8x | 109 | 48% |
| Buy and hold | 8.9% | -48.8% | 0.46 | 0.18 | 2.2x | 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 33-day average price crosses above the 163-day average
- Sell — Sell (to cash) when the 33-day average falls below the 163-day average