Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Long/Short Equity backtest
10 trend-following strategies were compared on the full daily history of First Trust Long/Short Equity. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.1%, drawdown -29.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.0%, MDD -23.2%, Sharpe 0.68, 96% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 96% n=103, threshold=-0.1 |
7.0% | -23.2% | 0.68 | 0.30 | 2.3x | 7 | 96% |
| Donchian 채널 돌파 entryN=84, exitN=46 |
3.6% | -16.8% | 0.47 | 0.21 | 1.5x | 23 | 67% |
| SMA 크로스오버 fast=25, slow=136 |
3.9% | -18.5% | 0.47 | 0.21 | 1.6x | 23 | 75% |
| EMA 크로스오버 fast=43, slow=133 |
3.6% | -17.0% | 0.42 | 0.21 | 1.5x | 15 | 80% |
| ADX / DI 방향성 period=31, threshold=25 |
0.6% | -7.6% | 0.28 | 0.08 | 1.1x | 4 | 4% |
| 볼린저 밴드 돌파 n=44, k=2.7 |
0.6% | -8.3% | 0.24 | 0.08 | 1.1x | 8 | 8% |
| Supertrend period=12, mult=5 |
0.4% | -38.6% | 0.10 | 0.01 | 1.0x | 35 | 69% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.1% | -43.2% | -0.21 | -0.07 | 0.7x | 115 | 66% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=12, mult=2.6 |
-2.3% | -29.8% | -0.21 | -0.08 | 0.8x | 12 | 5% |
| MACD fast=19, slow=34, signal=13 |
-7.6% | -64.8% | -0.68 | -0.12 | 0.4x | 181 | 52% |
| Buy and hold | 8.1% | -29.3% | 0.52 | 0.28 | 2.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 103-day return is greater than -10%
- Sell — Sell when the 103-day return drops to -10% or below