Trend-Following Backtester · Guide · backtest 한국어
etf · US
Franklin FTSE Japan ETF backtest
10 trend-following strategies were compared on the full daily history of Franklin FTSE Japan ETF. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.2%, MDD -18.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.8%, drawdown -33.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.2%, MDD -18.2%, Sharpe 0.45, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 15.8%p (CAGR 5.2%, MDD -18.2%, exposure 60%).
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=34, slow=359 |
5.2% | -18.2% | 0.45 | 0.29 | 1.6x | 5 | 60% |
| SMA 크로스오버 fast=39, slow=103 |
4.8% | -20.4% | 0.45 | 0.24 | 1.5x | 15 | 52% |
| ROC 모멘텀 Hold-like · Exposure 98% n=19, threshold=-0.11 |
5.1% | -33.9% | 0.38 | 0.15 | 1.5x | 7 | 98% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
0.7% | -5.2% | 0.26 | 0.14 | 1.1x | 4 | 3% |
| Donchian 채널 돌파 entryN=118, exitN=53 |
1.8% | -28.0% | 0.21 | 0.06 | 1.2x | 13 | 45% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=24, mult=3.5 |
0.2% | -11.4% | 0.07 | 0.02 | 1.0x | 22 | 11% |
| Supertrend period=11, mult=4.7 |
-0.5% | -26.4% | 0.01 | -0.02 | 1.0x | 44 | 52% |
| ADX / DI 방향성 period=36, threshold=14 |
-2.1% | -20.9% | -0.32 | -0.10 | 0.8x | 32 | 16% |
| MACD fast=19, slow=59, signal=18 |
-4.4% | -38.0% | -0.34 | -0.12 | 0.7x | 96 | 49% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-7.8% | -56.5% | -0.61 | -0.14 | 0.5x | 84 | 54% |
| Buy and hold | 4.8% | -33.9% | 0.35 | 0.14 | 1.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 34-day EMA crosses above the 359-day EMA
- Sell — Sell when the 34-day EMA falls below the 359-day EMA