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. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.8%, MDD -17.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.0%, drawdown -27.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.8%, MDD -17.6%, Sharpe 1.07, 74% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.3%p lower than buy and hold, while drawdown improves by 9.6%p (CAGR 12.8%, MDD -17.6%, exposure 74%).
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 |
12.8% | -17.6% | 1.07 | 0.73 | 2.2x | 7 | 74% |
| Donchian 채널 돌파 entryN=86, exitN=60 |
11.1% | -13.7% | 0.97 | 0.81 | 2.0x | 9 | 70% |
| SMA 크로스오버 fast=31, slow=143 |
10.9% | -16.0% | 0.97 | 0.68 | 1.9x | 11 | 71% |
| ROC 모멘텀 n=90, threshold=-0.03 |
12.1% | -21.8% | 0.95 | 0.56 | 2.1x | 27 | 79% |
| Supertrend period=25, mult=3.3 |
6.2% | -22.3% | 0.58 | 0.28 | 1.5x | 51 | 66% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=15, mult=1.1 |
5.1% | -18.5% | 0.52 | 0.27 | 1.4x | 55 | 67% |
| Parabolic SAR step=0.005, maxStep=0.1 |
5.0% | -21.2% | 0.48 | 0.24 | 1.4x | 63 | 66% |
| 볼린저 밴드 돌파 n=48, k=1.1 |
3.8% | -21.5% | 0.42 | 0.18 | 1.3x | 47 | 61% |
| 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 |
0.1% | -31.5% | 0.05 | 0.00 | 1.0x | 78 | 50% |
| Buy and hold | 17.0% | -27.2% | 0.99 | 0.63 | 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