Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Smith Opportunistic Fixed Income ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust Smith Opportunistic Fixed Income ETF. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.1%, MDD -0.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.7%, drawdown -26.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.5%, MDD -3.9%, Sharpe 0.41, 10% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 22.8%p (CAGR -0.1%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=43, k=3.5 |
0.5% | -3.9% | 0.41 | 0.13 | 1.0x | 4 | 10% |
| Supertrend period=31, mult=4 |
0.2% | -6.4% | 0.08 | 0.04 | 1.0x | 30 | 50% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=14, mult=4 |
-0.0% | -1.9% | -0.02 | -0.01 | 1.0x | 2 | 2% |
| Donchian 채널 돌파 entryN=50, exitN=19 |
-0.2% | -9.2% | -0.04 | -0.02 | 1.0x | 20 | 29% |
| SMA 크로스오버 fast=37, slow=215 |
-0.3% | -13.8% | -0.07 | -0.02 | 1.0x | 14 | 41% |
| EMA 크로스오버 fast=55, slow=164 |
-0.4% | -12.4% | -0.08 | -0.03 | 1.0x | 12 | 40% |
| ROC 모멘텀 n=113, threshold=0.1 |
-0.1% | -0.5% | -0.26 | -0.11 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=22, threshold=39 |
-0.1% | -1.2% | -0.40 | -0.11 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.9% | -31.4% | -0.98 | -0.12 | 0.7x | 80 | 46% |
| MACD fast=17, slow=55, signal=11 |
-6.6% | -47.6% | -1.61 | -0.14 | 0.5x | 122 | 49% |
| Buy and hold | -1.7% | -26.7% | -0.27 | -0.06 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 43-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 43-day middle average