Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust BuyWrite Income ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust BuyWrite Income ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 1.3%, MDD -25.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 1.3%, drawdown -35.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.2%, MDD -1.0%, Sharpe 0.29, 0% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.3%, MDD -25.6%, exposure 65%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 34.4%p (CAGR 1.3%, MDD -25.6%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=23, threshold=0.11 |
0.2% | -1.0% | 0.29 | 0.21 | 1.0x | 6 | 0% |
| SMA 크로스오버 fast=51, slow=190 |
1.3% | -25.6% | 0.18 | 0.05 | 1.2x | 19 | 65% |
| ADX / DI 방향성 period=28, threshold=37 |
0.0% | -0.8% | 0.07 | 0.03 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=13, exitN=92 |
0.0% | -27.3% | 0.06 | 0.00 | 1.0x | 29 | 90% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=13, mult=3.9 |
0.0% | -1.7% | 0.04 | 0.02 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=41, slow=200 |
-0.4% | -22.3% | 0.00 | -0.02 | 0.9x | 19 | 62% |
| 볼린저 밴드 돌파 n=51, k=2.7 |
-0.9% | -11.5% | -0.31 | -0.08 | 0.9x | 12 | 7% |
| Supertrend period=19, mult=4.7 |
-4.5% | -51.7% | -0.41 | -0.09 | 0.6x | 59 | 61% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-4.9% | -47.7% | -0.50 | -0.10 | 0.5x | 166 | 59% |
| MACD fast=18, slow=55, signal=22 |
-8.4% | -66.9% | -1.00 | -0.13 | 0.3x | 158 | 52% |
| Buy and hold | 1.3% | -35.5% | 0.16 | 0.04 | 1.2x | 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 23-day return is greater than 11%
- Sell — Sell when the 23-day return drops to 11% or below