Trend-Following Backtester · Guide · backtest 한국어
etf · US
Avantis International Small Cap Value ETF backtest
10 trend-following strategies were compared on the full daily history of Avantis International Small Cap Value ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.1%, MDD -15.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.5%, drawdown -43.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.1%, MDD -15.6%, Sharpe 1.00, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 27.4%p (CAGR 13.1%, MDD -15.6%, exposure 65%).
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=29, slow=119 |
13.1% | -15.6% | 1.00 | 0.84 | 2.3x | 15 | 65% |
| EMA 크로스오버 fast=58, slow=112 |
13.1% | -19.1% | 0.98 | 0.68 | 2.3x | 7 | 68% |
| ROC 모멘텀 n=134, threshold=-0.01 |
10.8% | -17.5% | 0.88 | 0.62 | 2.0x | 37 | 67% |
| 볼린저 밴드 돌파 n=52, k=2.6 |
5.1% | -8.9% | 0.83 | 0.57 | 1.4x | 6 | 17% |
| Donchian 채널 돌파 entryN=44, exitN=53 |
9.9% | -24.0% | 0.77 | 0.41 | 1.9x | 13 | 68% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=22, mult=3.9 |
6.2% | -11.3% | 0.75 | 0.55 | 1.5x | 17 | 31% |
| Supertrend period=8, mult=4.9 |
7.0% | -29.3% | 0.61 | 0.24 | 1.6x | 29 | 60% |
| MACD fast=15, slow=26, signal=15 |
5.4% | -34.5% | 0.49 | 0.16 | 1.4x | 95 | 48% |
| ADX / DI 방향성 period=18, threshold=30 |
2.1% | -9.4% | 0.46 | 0.22 | 1.2x | 16 | 12% |
| Parabolic SAR step=0.04, maxStep=0.12 |
1.1% | -32.6% | 0.15 | 0.03 | 1.1x | 169 | 59% |
| Buy and hold | 12.5% | -43.0% | 0.70 | 0.29 | 2.3x | 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 29-day average price crosses above the 119-day average
- Sell — Sell (to cash) when the 29-day average falls below the 119-day average