Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Global Tactical Commodity Strategy Fund backtest
10 trend-following strategies were compared on the full daily history of First Trust Global Tactical Commodity Strategy Fund. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.1%, MDD -13.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.2%, drawdown -60.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.0%, MDD -33.0%, Sharpe 0.31, 38% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 27.6%p (CAGR 1.1%, MDD -13.8%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=109, slow=209 |
3.0% | -33.0% | 0.31 | 0.09 | 1.5x | 9 | 38% |
| SMA 크로스오버 fast=50, slow=284 |
2.7% | -24.5% | 0.30 | 0.11 | 1.4x | 15 | 41% |
| Donchian 채널 돌파 entryN=60, exitN=49 |
2.3% | -29.6% | 0.26 | 0.08 | 1.3x | 23 | 44% |
| Supertrend period=8, mult=4.7 |
1.6% | -36.1% | 0.20 | 0.05 | 1.2x | 47 | 48% |
| 볼린저 밴드 돌파 n=76, k=2.7 |
1.1% | -13.8% | 0.19 | 0.08 | 1.2x | 16 | 17% |
| ROC 모멘텀 n=46, threshold=0.09 |
0.5% | -20.2% | 0.12 | 0.03 | 1.1x | 57 | 9% |
| ADX / DI 방향성 period=14, threshold=35 |
0.2% | -16.9% | 0.07 | 0.01 | 1.0x | 28 | 8% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=17, mult=3.4 |
-0.1% | -25.9% | 0.03 | -0.00 | 1.0x | 43 | 22% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-2.3% | -43.6% | -0.16 | -0.05 | 0.7x | 103 | 52% |
| MACD fast=14, slow=42, signal=17 |
-2.9% | -49.6% | -0.25 | -0.06 | 0.7x | 153 | 51% |
| Buy and hold | 0.2% | -60.6% | 0.09 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 109-day EMA crosses above the 209-day EMA
- Sell — Sell when the 109-day EMA falls below the 209-day EMA