Trend-Following Backtester · Guide · backtest 한국어
etf · US
Freedom 100 Emerging Markets ETF backtest
10 trend-following strategies were compared on the full daily history of Freedom 100 Emerging Markets ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.0%, MDD -22.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.6%, drawdown -40.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.1%, MDD -25.8%, Sharpe 0.87, 92% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 14.7%p (CAGR 14.0%, MDD -22.7%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=48, threshold=-0.12 |
17.1% | -25.8% | 0.87 | 0.66 | 3.1x | 21 | 92% |
| SMA 크로스오버 fast=32, slow=113 |
14.0% | -22.7% | 0.83 | 0.62 | 2.6x | 15 | 64% |
| EMA 크로스오버 fast=31, slow=209 |
11.8% | -28.6% | 0.72 | 0.41 | 2.2x | 11 | 68% |
| Donchian 채널 돌파 entryN=11, exitN=82 |
12.1% | -41.8% | 0.68 | 0.29 | 2.3x | 19 | 87% |
| 볼린저 밴드 돌파 n=53, k=2.8 |
4.8% | -14.8% | 0.67 | 0.32 | 1.4x | 8 | 14% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=10, mult=3.2 |
8.0% | -20.1% | 0.67 | 0.40 | 1.7x | 26 | 37% |
| Supertrend period=29, mult=4.5 |
6.5% | -38.7% | 0.47 | 0.17 | 1.6x | 38 | 58% |
| ADX / DI 방향성 period=13, threshold=39 |
2.4% | -9.9% | 0.46 | 0.24 | 1.2x | 10 | 6% |
| MACD fast=14, slow=49, signal=6 |
5.0% | -22.8% | 0.41 | 0.22 | 1.4x | 127 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
2.2% | -39.3% | 0.22 | 0.06 | 1.2x | 127 | 58% |
| Buy and hold | 14.6% | -40.5% | 0.70 | 0.36 | 2.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 48-day return is greater than -12%
- Sell — Sell when the 48-day return drops to -12% or below