Trend-Following Backtester · Guide · backtest 한국어
etf · US
T. Rowe Price U.S. Equity Research ETF backtest
10 trend-following strategies were compared on the full daily history of T. Rowe Price U.S. Equity Research ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.9%, MDD -10.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.2%, drawdown -24.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.9%, MDD -10.5%, Sharpe 1.21, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 14.2%p (CAGR 12.9%, MDD -10.5%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=20, slow=227 |
12.9% | -10.5% | 1.21 | 1.23 | 1.9x | 3 | 65% |
| EMA 크로스오버 fast=45, slow=218 |
11.5% | -19.0% | 1.00 | 0.60 | 1.8x | 3 | 63% |
| ROC 모멘텀 n=116, threshold=-0.07 |
12.0% | -17.8% | 0.90 | 0.67 | 1.8x | 9 | 82% |
| Donchian 채널 돌파 entryN=85, exitN=60 |
8.9% | -13.0% | 0.90 | 0.68 | 1.6x | 9 | 62% |
| ADX / DI 방향성 period=17, threshold=22 |
3.9% | -6.1% | 0.73 | 0.65 | 1.2x | 22 | 24% |
| Parabolic SAR step=0.005, maxStep=0.08 |
6.4% | -18.6% | 0.62 | 0.34 | 1.4x | 45 | 65% |
| Supertrend period=18, mult=3.1 |
5.8% | -23.7% | 0.56 | 0.24 | 1.3x | 49 | 66% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=11, mult=3.4 |
2.9% | -18.0% | 0.40 | 0.16 | 1.2x | 23 | 43% |
| MACD fast=17, slow=47, signal=18 |
2.5% | -18.3% | 0.30 | 0.13 | 1.1x | 52 | 48% |
| 볼린저 밴드 돌파 n=43, k=2.6 |
0.4% | -5.1% | 0.17 | 0.07 | 1.0x | 3 | 5% |
| Buy and hold | 13.2% | -24.7% | 0.82 | 0.54 | 1.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 20-day average price crosses above the 227-day average
- Sell — Sell (to cash) when the 20-day average falls below the 227-day average