Trend-Following Backtester · Guide · backtest 한국어
etf · US
Franklin FTSE backtest
10 trend-following strategies were compared on the full daily history of Franklin FTSE. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.6%, drawdown -46.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.3%, MDD -20.7%, Sharpe 0.35, 51% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=78, exitN=62 |
3.3% | -20.7% | 0.35 | 0.16 | 1.3x | 13 | 51% |
| EMA 크로스오버 fast=41, slow=198 |
3.2% | -19.3% | 0.32 | 0.16 | 1.3x | 11 | 61% |
| SMA 크로스오버 fast=29, slow=172 |
3.1% | -26.0% | 0.31 | 0.12 | 1.3x | 17 | 60% |
| 볼린저 밴드 돌파 n=11, k=2.9 |
0.2% | -1.3% | 0.28 | 0.16 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=123, threshold=-0.02 |
0.6% | -35.7% | 0.11 | 0.02 | 1.1x | 49 | 67% |
| Supertrend period=14, mult=5 |
-0.7% | -37.4% | -0.00 | -0.02 | 0.9x | 49 | 56% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=21, mult=1.9 |
-1.4% | -25.0% | -0.09 | -0.06 | 0.9x | 51 | 46% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-2.2% | -32.8% | -0.11 | -0.07 | 0.8x | 145 | 56% |
| MACD fast=9, slow=23, signal=15 |
-2.0% | -30.8% | -0.12 | -0.06 | 0.8x | 149 | 49% |
| ADX / DI 방향성 period=30, threshold=39 |
-0.7% | -5.9% | -0.40 | -0.12 | 0.9x | 2 | 0% |
| Buy and hold | 4.6% | -46.6% | 0.33 | 0.10 | 1.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 78 days
- Sell — Sell when price breaks below the lowest low of the last 62 days