Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Natural Gas ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust Natural Gas ETF. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.8%, MDD -15.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.1%, drawdown -97.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.2%, MDD -45.6%, Sharpe 0.34, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.3%p higher than buy and hold, while drawdown improves by 51.9%p (CAGR 1.8%, MDD -15.8%, exposure 2%).
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=36, slow=219 |
5.2% | -45.6% | 0.34 | 0.11 | 2.6x | 27 | 45% |
| ROC 모멘텀 n=165, threshold=0.13 |
4.1% | -48.0% | 0.31 | 0.09 | 2.2x | 121 | 29% |
| 볼린저 밴드 돌파 n=58, k=3.3 |
1.8% | -15.8% | 0.28 | 0.11 | 1.4x | 2 | 2% |
| EMA 크로스오버 fast=51, slow=150 |
3.4% | -57.5% | 0.26 | 0.06 | 1.9x | 31 | 45% |
| Donchian 채널 돌파 entryN=104, exitN=57 |
1.5% | -57.6% | 0.17 | 0.03 | 1.3x | 28 | 38% |
| Supertrend period=22, mult=4.1 |
-0.3% | -72.3% | 0.11 | -0.00 | 0.9x | 89 | 51% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=27, mult=3.9 |
0.1% | -35.3% | 0.06 | 0.00 | 1.0x | 22 | 8% |
| MACD fast=17, slow=37, signal=17 |
-4.0% | -91.1% | -0.00 | -0.04 | 0.5x | 237 | 51% |
| ADX / DI 방향성 period=16, threshold=21 |
-1.5% | -61.6% | -0.01 | -0.02 | 0.7x | 126 | 19% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-5.0% | -87.7% | -0.07 | -0.06 | 0.4x | 175 | 51% |
| Buy and hold | -6.1% | -97.6% | 0.04 | -0.06 | 0.3x | 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 36-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 36-day average falls below the 219-day average