Trend-Following Backtester · Guide · backtest 한국어
etf · US
Virtus Reaves Utilities ETF backtest
10 trend-following strategies were compared on the full daily history of Virtus Reaves Utilities ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 10.9%, drawdown -35.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.8%, MDD -22.6%, Sharpe 0.69, 99% 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 99% n=7, threshold=-0.13 |
11.8% | -22.6% | 0.69 | 0.52 | 3.3x | 5 | 99% |
| SMA 크로스오버 fast=103, slow=119 |
8.0% | -17.9% | 0.59 | 0.45 | 2.3x | 36 | 69% |
| Donchian 채널 돌파 entryN=14, exitN=62 |
4.6% | -27.6% | 0.36 | 0.17 | 1.6x | 33 | 87% |
| EMA 크로스오버 fast=78, slow=224 |
4.4% | -35.7% | 0.34 | 0.12 | 1.6x | 11 | 72% |
| Supertrend period=36, mult=4.9 |
1.7% | -29.4% | 0.19 | 0.06 | 1.2x | 62 | 64% |
| ADX / DI 방향성 period=39, threshold=17 |
1.0% | -29.6% | 0.17 | 0.04 | 1.1x | 32 | 26% |
| 볼린저 밴드 돌파 n=58, k=3.3 |
0.4% | -7.3% | 0.16 | 0.06 | 1.0x | 4 | 5% |
| MACD fast=17, slow=41, signal=18 |
0.5% | -29.6% | 0.11 | 0.02 | 1.1x | 120 | 52% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-1.8% | -37.3% | -0.06 | -0.05 | 0.8x | 142 | 58% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=22, mult=2.7 |
-1.1% | -26.0% | -0.06 | -0.04 | 0.9x | 70 | 41% |
| Buy and hold | 10.9% | -35.7% | 0.62 | 0.30 | 3.1x | 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 7-day return is greater than -13%
- Sell — Sell when the 7-day return drops to -13% or below