Trend-Following Backtester · Guide · backtest 한국어
etf · US
Avantis International Equity ETF backtest
10 trend-following strategies were compared on the full daily history of Avantis International Equity ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.7%, MDD -16.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.4%, drawdown -37.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.8%, MDD -16.6%, Sharpe 0.90, 66% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 20.4%p (CAGR 10.7%, MDD -16.0%, exposure 69%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=26, slow=134 |
10.8% | -16.6% | 0.90 | 0.65 | 2.0x | 9 | 66% |
| EMA 크로스오버 fast=30, slow=108 |
10.7% | -16.0% | 0.89 | 0.67 | 2.0x | 9 | 69% |
| ROC 모멘텀 n=111, threshold=-0.04 |
8.9% | -15.6% | 0.75 | 0.57 | 1.8x | 29 | 74% |
| Donchian 채널 돌파 entryN=59, exitN=62 |
6.8% | -21.6% | 0.61 | 0.31 | 1.6x | 11 | 63% |
| 볼린저 밴드 돌파 n=56, k=2.6 |
2.8% | -8.3% | 0.53 | 0.34 | 1.2x | 9 | 19% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=10, mult=1.4 |
3.8% | -22.3% | 0.41 | 0.17 | 1.3x | 53 | 56% |
| ADX / DI 방향성 period=20, threshold=36 |
0.4% | -1.4% | 0.36 | 0.29 | 1.0x | 2 | 2% |
| Supertrend period=10, mult=4.6 |
3.3% | -30.8% | 0.34 | 0.11 | 1.3x | 35 | 63% |
| MACD fast=10, slow=37, signal=15 |
0.2% | -27.9% | 0.08 | 0.01 | 1.0x | 112 | 48% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.3% | -33.8% | 0.03 | -0.01 | 1.0x | 67 | 60% |
| Buy and hold | 9.4% | -37.0% | 0.57 | 0.25 | 1.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 26-day average price crosses above the 134-day average
- Sell — Sell (to cash) when the 26-day average falls below the 134-day average