Trend-Following Backtester · Guide · backtest 한국어
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Franklin FTSE India ETF backtest
10 trend-following strategies were compared on the full daily history of Franklin FTSE India ETF. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.0%, MDD -20.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.7%, drawdown -42.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -20.0%, Sharpe 0.54, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 23.0%p (CAGR 6.0%, MDD -20.0%, exposure 57%).
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=51, exitN=56 |
6.0% | -20.0% | 0.54 | 0.30 | 1.6x | 19 | 57% |
| SMA 크로스오버 fast=16, slow=96 |
5.5% | -23.7% | 0.51 | 0.23 | 1.6x | 27 | 57% |
| ROC 모멘텀 n=105, threshold=0.04 |
4.1% | -16.9% | 0.44 | 0.24 | 1.4x | 37 | 43% |
| EMA 크로스오버 fast=33, slow=55 |
3.9% | -29.0% | 0.38 | 0.14 | 1.4x | 29 | 58% |
| 볼린저 밴드 돌파 n=20, k=3.1 |
0.7% | -2.5% | 0.38 | 0.26 | 1.1x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=21, mult=2.6 |
3.2% | -16.9% | 0.36 | 0.19 | 1.3x | 34 | 46% |
| MACD fast=18, slow=92, signal=19 |
3.1% | -27.0% | 0.31 | 0.11 | 1.3x | 75 | 49% |
| ADX / DI 방향성 period=36, threshold=19 |
0.8% | -7.1% | 0.18 | 0.11 | 1.1x | 10 | 11% |
| Supertrend period=26, mult=4.4 |
1.2% | -27.0% | 0.16 | 0.04 | 1.1x | 57 | 61% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-6.3% | -43.1% | -0.42 | -0.15 | 0.6x | 199 | 56% |
| Buy and hold | 4.7% | -42.9% | 0.33 | 0.11 | 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 51 days
- Sell — Sell when price breaks below the lowest low of the last 56 days