Trend-Following Backtester · Guide · backtest 한국어
etf · US
BNY Mellon US Large Cap Core Equity ETF backtest
10 trend-following strategies were compared on the full daily history of BNY Mellon US Large Cap Core Equity ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.8%, drawdown -27.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.4%, MDD -17.6%, Sharpe 1.04, 73% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=45, slow=138 |
12.4% | -17.6% | 1.04 | 0.71 | 2.1x | 7 | 73% |
| Donchian 채널 돌파 entryN=86, exitN=60 |
10.7% | -13.7% | 0.94 | 0.78 | 1.9x | 9 | 69% |
| SMA 크로스오버 fast=31, slow=143 |
10.6% | -16.0% | 0.94 | 0.66 | 1.9x | 11 | 70% |
| ROC 모멘텀 n=90, threshold=-0.03 |
11.8% | -21.8% | 0.92 | 0.54 | 2.0x | 27 | 79% |
| Supertrend period=25, mult=3.3 |
6.4% | -22.3% | 0.60 | 0.29 | 1.5x | 50 | 66% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=15, mult=1.1 |
5.0% | -18.5% | 0.51 | 0.27 | 1.4x | 54 | 66% |
| Parabolic SAR step=0.005, maxStep=0.1 |
4.6% | -21.2% | 0.44 | 0.22 | 1.3x | 63 | 65% |
| 볼린저 밴드 돌파 n=48, k=1.1 |
3.7% | -21.5% | 0.41 | 0.17 | 1.3x | 46 | 60% |
| ADX / DI 방향성 period=24, threshold=22 |
1.1% | -11.2% | 0.23 | 0.10 | 1.1x | 20 | 15% |
| MACD fast=21, slow=60, signal=13 |
0.3% | -31.5% | 0.08 | 0.01 | 1.0x | 76 | 50% |
| Buy and hold | 16.8% | -27.2% | 0.97 | 0.62 | 2.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 45-day EMA crosses above the 138-day EMA
- Sell — Sell when the 45-day EMA falls below the 138-day EMA