Trend-Following Backtester · Guide · backtest 한국어
etf · US
Putnam Focused Large Cap Value ETF backtest
10 trend-following strategies were compared on the full daily history of Putnam Focused Large Cap Value ETF. 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 15.5%, drawdown -16.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.9%, MDD -9.2%, Sharpe 1.14, 48% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.5%, MDD -16.0%, exposure 72%.
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=122, exitN=67 |
8.9% | -9.2% | 1.14 | 0.96 | 1.6x | 5 | 48% |
| SMA 크로스오버 fast=40, slow=199 |
11.5% | -16.0% | 0.97 | 0.72 | 1.8x | 5 | 72% |
| EMA 크로스오버 fast=42, slow=169 |
10.7% | -16.0% | 0.89 | 0.67 | 1.7x | 5 | 76% |
| ROC 모멘텀 n=107, threshold=-0.01 |
9.6% | -16.9% | 0.84 | 0.56 | 1.6x | 29 | 79% |
| Supertrend period=35, mult=4.3 |
6.8% | -19.1% | 0.69 | 0.36 | 1.4x | 25 | 70% |
| 볼린저 밴드 돌파 n=26, k=1.8 |
4.7% | -11.5% | 0.60 | 0.41 | 1.3x | 43 | 50% |
| Parabolic SAR step=0.01, maxStep=0.06 |
5.6% | -15.7% | 0.58 | 0.36 | 1.3x | 61 | 67% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=19, mult=1.8 |
3.6% | -20.7% | 0.43 | 0.18 | 1.2x | 33 | 61% |
| ADX / DI 방향성 period=28, threshold=27 |
1.5% | -6.8% | 0.33 | 0.22 | 1.1x | 6 | 14% |
| MACD fast=15, slow=31, signal=16 |
1.6% | -21.2% | 0.21 | 0.07 | 1.1x | 70 | 53% |
| Buy and hold | 15.5% | -16.6% | 1.03 | 0.93 | 2.1x | 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 122 days
- Sell — Sell when price breaks below the lowest low of the last 67 days