Trend-Following Backtester · Guide · backtest 한국어
etf · US
Avantis U.S. Equity ETF backtest
10 trend-following strategies were compared on the full daily history of Avantis U.S. Equity ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.1%, MDD -11.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.7%, drawdown -37.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.1%, MDD -11.4%, Sharpe 1.14, 73% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 25.6%p (CAGR 14.1%, MDD -11.4%, exposure 73%).
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=27, slow=166 |
14.1% | -11.4% | 1.14 | 1.23 | 2.5x | 7 | 73% |
| EMA 크로스오버 fast=42, slow=143 |
11.4% | -20.2% | 0.94 | 0.57 | 2.1x | 13 | 73% |
| Donchian 채널 돌파 entryN=23, exitN=74 |
12.4% | -25.0% | 0.86 | 0.50 | 2.3x | 13 | 87% |
| Supertrend period=27, mult=4.9 |
10.1% | -19.3% | 0.86 | 0.53 | 2.0x | 25 | 66% |
| ROC 모멘텀 n=12, threshold=-0.06 |
13.3% | -28.1% | 0.84 | 0.48 | 2.4x | 39 | 95% |
| Parabolic SAR step=0.005, maxStep=0.36 |
6.3% | -23.5% | 0.56 | 0.27 | 1.5x | 69 | 67% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=26, mult=1.3 |
3.8% | -27.7% | 0.39 | 0.14 | 1.3x | 55 | 64% |
| 볼린저 밴드 돌파 n=53, k=1.1 |
3.4% | -27.6% | 0.36 | 0.12 | 1.3x | 47 | 62% |
| ADX / DI 방향성 period=25, threshold=26 |
1.1% | -7.4% | 0.34 | 0.14 | 1.1x | 4 | 7% |
| MACD fast=10, slow=53, signal=15 |
-1.2% | -35.2% | -0.04 | -0.03 | 0.9x | 124 | 51% |
| Buy and hold | 14.7% | -37.0% | 0.77 | 0.40 | 2.6x | 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 27-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 27-day average falls below the 166-day average