Trend-Following Backtester · Guide · backtest 한국어
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Cambria Tail Risk ETF backtest
10 trend-following strategies were compared on the full daily history of Cambria Tail Risk ETF. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -10.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.1%, drawdown -59.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.0%, MDD -12.4%, Sharpe 0.17, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 47.4%p (CAGR 0.4%, MDD -10.2%, exposure 2%).
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=96, exitN=4 |
1.0% | -12.4% | 0.17 | 0.08 | 1.1x | 10 | 2% |
| ADX / DI 방향성 period=14, threshold=41 |
0.4% | -10.2% | 0.11 | 0.04 | 1.0x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=21, mult=3.1 |
0.5% | -10.7% | 0.10 | 0.04 | 1.0x | 12 | 2% |
| ROC 모멘텀 n=52, threshold=0.12 |
-0.0% | -11.3% | 0.03 | -0.00 | 1.0x | 8 | 3% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
-0.9% | -19.8% | -0.06 | -0.04 | 0.9x | 10 | 6% |
| EMA 크로스오버 fast=47, slow=94 |
-1.5% | -26.8% | -0.13 | -0.06 | 0.9x | 10 | 14% |
| SMA 크로스오버 fast=30, slow=130 |
-1.9% | -28.9% | -0.17 | -0.07 | 0.8x | 16 | 16% |
| Supertrend period=26, mult=4.3 |
-2.6% | -32.6% | -0.20 | -0.08 | 0.8x | 32 | 19% |
| MACD fast=54, slow=59, signal=36 |
-7.4% | -53.1% | -0.55 | -0.14 | 0.5x | 49 | 45% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-10.1% | -63.4% | -0.89 | -0.16 | 0.4x | 90 | 30% |
| Buy and hold | -9.1% | -59.8% | -0.58 | -0.15 | 0.4x | 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 96 days
- Sell — Sell when price breaks below the lowest low of the last 4 days