Trend-Following Backtester · Guide · backtest 한국어
etf · US
FT Vest S&P 500 Dividend Aristocrats Target Income ETF backtest
10 trend-following strategies were compared on the full daily history of FT Vest S&P 500 Dividend Aristocrats Target Income ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.0%, drawdown -35.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.7%, MDD -33.6%, Sharpe 0.20, 82% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=9, exitN=48 |
1.7% | -33.6% | 0.20 | 0.05 | 1.2x | 35 | 82% |
| 볼린저 밴드 돌파 n=56, k=2.5 |
0.4% | -8.5% | 0.12 | 0.05 | 1.0x | 11 | 13% |
| Supertrend period=25, mult=3.1 |
0.3% | -20.8% | 0.09 | 0.02 | 1.0x | 59 | 60% |
| ROC 모멘텀 n=142, threshold=0.1 |
0.1% | -13.4% | 0.04 | 0.00 | 1.0x | 26 | 13% |
| SMA 크로스오버 fast=18, slow=55 |
-0.3% | -27.5% | 0.03 | -0.01 | 1.0x | 43 | 59% |
| MACD fast=15, slow=34, signal=14 |
-1.2% | -28.7% | -0.06 | -0.04 | 0.9x | 116 | 52% |
| EMA 크로스오버 fast=24, slow=190 |
-1.8% | -37.7% | -0.14 | -0.05 | 0.9x | 19 | 55% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-2.7% | -23.3% | -0.20 | -0.11 | 0.8x | 77 | 59% |
| ADX / DI 방향성 period=16, threshold=37 |
-0.7% | -10.3% | -0.27 | -0.07 | 0.9x | 12 | 6% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=18, mult=1.9 |
-2.8% | -23.3% | -0.39 | -0.12 | 0.8x | 60 | 28% |
| Buy and hold | 3.0% | -35.1% | 0.26 | 0.08 | 1.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 9 days
- Sell — Sell when price breaks below the lowest low of the last 48 days