Trend-Following Backtester · Guide · backtest 한국어
etf · US
Avantis U.S. Small Cap Value ETF backtest
10 trend-following strategies were compared on the full daily history of Avantis U.S. Small Cap Value ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 15.9%, MDD -24.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.0%, drawdown -49.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.9%, MDD -24.4%, Sharpe 0.75, 93% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 25.2%p (CAGR 15.9%, MDD -24.4%, exposure 93%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=42, threshold=-0.13 |
15.9% | -24.4% | 0.75 | 0.65 | 2.8x | 15 | 93% |
| EMA 크로스오버 fast=50, slow=105 |
12.3% | -23.0% | 0.74 | 0.53 | 2.2x | 9 | 69% |
| Donchian 채널 돌파 entryN=54, exitN=40 |
11.6% | -19.8% | 0.71 | 0.59 | 2.1x | 15 | 62% |
| SMA 크로스오버 fast=42, slow=133 |
11.2% | -25.0% | 0.70 | 0.45 | 2.1x | 11 | 65% |
| Supertrend period=26, mult=5 |
7.7% | -24.3% | 0.50 | 0.32 | 1.7x | 21 | 61% |
| 볼린저 밴드 돌파 n=12, k=2.8 |
1.8% | -8.1% | 0.39 | 0.22 | 1.1x | 10 | 5% |
| Parabolic SAR step=0.015, maxStep=0.32 |
4.5% | -25.5% | 0.33 | 0.18 | 1.4x | 124 | 59% |
| ADX / DI 방향성 period=36, threshold=15 |
2.9% | -16.8% | 0.31 | 0.17 | 1.2x | 26 | 20% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=17, mult=2 |
3.3% | -27.0% | 0.29 | 0.12 | 1.3x | 41 | 50% |
| MACD fast=10, slow=37, signal=19 |
2.8% | -39.2% | 0.24 | 0.07 | 1.2x | 98 | 50% |
| Buy and hold | 14.0% | -49.6% | 0.61 | 0.28 | 2.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 42-day return is greater than -13%
- Sell — Sell when the 42-day return drops to -13% or below