Trend-Following Backtester · Guide · backtest 한국어
etf · US
Avantis Emerging Markets Equity ETF backtest
10 trend-following strategies were compared on the full daily history of Avantis Emerging Markets Equity 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 12.4%, MDD -14.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.6%, drawdown -36.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.4%, MDD -14.3%, Sharpe 0.90, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 22.0%p (CAGR 12.4%, MDD -14.3%, exposure 61%).
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=19, slow=136 |
12.4% | -14.3% | 0.90 | 0.87 | 2.3x | 7 | 61% |
| Donchian 채널 돌파 entryN=82, exitN=81 |
9.7% | -16.6% | 0.73 | 0.58 | 1.9x | 7 | 60% |
| EMA 크로스오버 fast=48, slow=61 |
9.4% | -18.3% | 0.68 | 0.52 | 1.9x | 11 | 65% |
| ROC 모멘텀 n=127, threshold=0.01 |
6.5% | -23.0% | 0.53 | 0.28 | 1.6x | 53 | 56% |
| 볼린저 밴드 돌파 n=49, k=1.4 |
4.3% | -21.4% | 0.41 | 0.20 | 1.3x | 38 | 43% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=17, mult=2.3 |
4.1% | -23.0% | 0.39 | 0.18 | 1.3x | 34 | 43% |
| Supertrend period=15, mult=4.8 |
2.0% | -39.5% | 0.22 | 0.05 | 1.1x | 36 | 54% |
| ADX / DI 방향성 period=24, threshold=30 |
0.3% | -5.4% | 0.14 | 0.06 | 1.0x | 2 | 2% |
| MACD fast=6, slow=43, signal=17 |
-1.1% | -30.7% | -0.02 | -0.04 | 0.9x | 117 | 49% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-2.3% | -47.7% | -0.10 | -0.05 | 0.9x | 125 | 58% |
| Buy and hold | 9.6% | -36.3% | 0.54 | 0.27 | 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 19-day average price crosses above the 136-day average
- Sell — Sell (to cash) when the 19-day average falls below the 136-day average