Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust DJ Internet Index Fund backtest
10 trend-following strategies were compared on the full daily history of First Trust DJ Internet Index Fund. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.8%, MDD -26.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.7%, drawdown -61.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.8%, MDD -26.1%, Sharpe 0.76, 69% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.2%, MDD -38.1%, exposure 77%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 35.5%p (CAGR 11.8%, MDD -26.1%, exposure 69%).
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=9, slow=77 |
11.8% | -26.1% | 0.76 | 0.45 | 9.5x | 81 | 69% |
| Supertrend period=19, mult=4.6 |
10.8% | -27.5% | 0.72 | 0.39 | 7.9x | 74 | 62% |
| Donchian 채널 돌파 entryN=18, exitN=38 |
12.2% | -38.1% | 0.72 | 0.32 | 10.1x | 63 | 77% |
| SMA 크로스오버 fast=6, slow=152 |
10.4% | -24.5% | 0.68 | 0.43 | 7.4x | 75 | 70% |
| 볼린저 밴드 돌파 n=94, k=1.2 |
8.6% | -31.3% | 0.64 | 0.28 | 5.3x | 72 | 57% |
| ROC 모멘텀 n=138, threshold=-0.04 |
10.3% | -40.1% | 0.62 | 0.26 | 7.1x | 111 | 78% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=22, mult=2.3 |
7.7% | -29.1% | 0.61 | 0.27 | 4.5x | 90 | 54% |
| MACD fast=22, slow=54, signal=21 |
1.2% | -59.5% | 0.15 | 0.02 | 1.3x | 200 | 52% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-0.4% | -49.6% | 0.06 | -0.01 | 0.9x | 300 | 61% |
| ADX / DI 방향성 period=37, threshold=17 |
-0.1% | -30.3% | 0.03 | -0.00 | 1.0x | 54 | 12% |
| Buy and hold | 13.7% | -61.6% | 0.63 | 0.22 | 13.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 9-day EMA crosses above the 77-day EMA
- Sell — Sell when the 9-day EMA falls below the 77-day EMA