Trend-Following Backtester · Guide · backtest 한국어
etf · US
FT Vest Nasdaq-100 Buffer ETF - June backtest
10 trend-following strategies were compared on the full daily history of FT Vest Nasdaq-100 Buffer ETF - June. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.2%, MDD -10.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.9%, drawdown -19.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.2%, MDD -10.3%, Sharpe 1.12, 66% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 9.7%p (CAGR 10.2%, MDD -10.3%, exposure 66%).
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=10, slow=210 |
10.2% | -10.3% | 1.12 | 0.99 | 1.6x | 5 | 66% |
| SMA 크로스오버 fast=17, slow=164 |
9.7% | -9.8% | 1.09 | 0.99 | 1.6x | 3 | 65% |
| Donchian 채널 돌파 entryN=97, exitN=25 |
4.4% | -6.6% | 0.71 | 0.66 | 1.2x | 14 | 45% |
| ROC 모멘텀 n=147, threshold=-0.02 |
6.9% | -15.4% | 0.71 | 0.45 | 1.4x | 19 | 73% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=29, mult=3.1 |
3.3% | -7.3% | 0.63 | 0.46 | 1.2x | 16 | 34% |
| 볼린저 밴드 돌파 n=59, k=1.7 |
4.0% | -9.5% | 0.61 | 0.42 | 1.2x | 20 | 51% |
| Supertrend period=9, mult=4 |
3.7% | -19.6% | 0.49 | 0.19 | 1.2x | 28 | 63% |
| ADX / DI 방향성 period=26, threshold=20 |
1.6% | -8.5% | 0.43 | 0.19 | 1.1x | 10 | 19% |
| Parabolic SAR step=0.005, maxStep=0.24 |
1.4% | -18.5% | 0.20 | 0.08 | 1.1x | 52 | 65% |
| MACD fast=24, slow=57, signal=18 |
-0.7% | -16.5% | -0.05 | -0.04 | 1.0x | 50 | 44% |
| Buy and hold | 9.9% | -19.9% | 0.74 | 0.50 | 1.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 10-day EMA crosses above the 210-day EMA
- Sell — Sell when the 10-day EMA falls below the 210-day EMA