Trend-Following Backtester · Guide · backtest 한국어
etf · US
Overlay Shares Large Cap Equity ETF backtest
10 trend-following strategies were compared on the full daily history of Overlay Shares Large Cap Equity ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 12.7%, MDD -23.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.8%, drawdown -35.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.7%, MDD -15.6%, Sharpe 0.80, 70% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 12.7%, MDD -23.6%, exposure 86%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 19.9%p (CAGR 12.7%, MDD -23.6%, exposure 86%).
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=50, slow=159 |
10.7% | -15.6% | 0.80 | 0.69 | 2.0x | 7 | 70% |
| ROC 모멘텀 n=114, threshold=-0.11 |
12.7% | -23.6% | 0.80 | 0.54 | 2.3x | 21 | 86% |
| SMA 크로스오버 fast=21, slow=153 |
9.9% | -20.3% | 0.76 | 0.49 | 1.9x | 13 | 69% |
| Donchian 채널 돌파 entryN=14, exitN=61 |
7.8% | -33.7% | 0.55 | 0.23 | 1.7x | 23 | 85% |
| Supertrend period=14, mult=4.9 |
4.5% | -25.5% | 0.43 | 0.18 | 1.4x | 32 | 60% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=23, mult=4 |
2.8% | -13.7% | 0.33 | 0.21 | 1.2x | 20 | 42% |
| Parabolic SAR step=0.005, maxStep=0.28 |
2.4% | -22.5% | 0.25 | 0.11 | 1.2x | 69 | 64% |
| 볼린저 밴드 돌파 n=37, k=2.8 |
0.4% | -3.0% | 0.25 | 0.14 | 1.0x | 2 | 2% |
| ADX / DI 방향성 period=21, threshold=20 |
0.9% | -23.8% | 0.16 | 0.04 | 1.1x | 40 | 21% |
| MACD fast=10, slow=69, signal=17 |
-0.2% | -30.6% | 0.04 | -0.01 | 1.0x | 92 | 51% |
| Buy and hold | 12.8% | -35.5% | 0.65 | 0.36 | 2.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 50-day EMA crosses above the 159-day EMA
- Sell — Sell when the 50-day EMA falls below the 159-day EMA