Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust VL Dividend backtest
10 trend-following strategies were compared on the full daily history of First Trust VL Dividend. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.4%, drawdown -54.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.0%, MDD -37.4%, Sharpe 0.48, 98% 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 98% n=39, threshold=-0.12 |
6.0% | -37.4% | 0.48 | 0.16 | 3.8x | 21 | 98% |
| Donchian 채널 돌파 entryN=85, exitN=86 |
3.7% | -23.1% | 0.44 | 0.16 | 2.3x | 29 | 64% |
| SMA 크로스오버 fast=54, slow=167 |
3.2% | -33.1% | 0.34 | 0.10 | 2.1x | 31 | 68% |
| EMA 크로스오버 fast=51, slow=199 |
2.5% | -26.7% | 0.28 | 0.09 | 1.8x | 29 | 73% |
| Supertrend period=36, mult=4.8 |
1.7% | -33.0% | 0.21 | 0.05 | 1.5x | 83 | 69% |
| 볼린저 밴드 돌파 n=30, k=3 |
0.5% | -14.3% | 0.18 | 0.03 | 1.1x | 10 | 4% |
| ADX / DI 방향성 period=25, threshold=24 |
-0.2% | -13.5% | -0.04 | -0.01 | 1.0x | 22 | 6% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=25, mult=3.6 |
-0.8% | -23.1% | -0.08 | -0.04 | 0.8x | 71 | 37% |
| MACD fast=35, slow=56, signal=21 |
-1.9% | -48.3% | -0.14 | -0.04 | 0.6x | 189 | 52% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.3% | -67.5% | -0.34 | -0.06 | 0.4x | 221 | 62% |
| Buy and hold | 5.4% | -54.2% | 0.40 | 0.10 | 3.3x | 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 39-day return is greater than -12%
- Sell — Sell when the 39-day return drops to -12% or below