Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Small Cap Growth AlphaDEX Fund backtest
10 trend-following strategies were compared on the full daily history of First Trust Small Cap Growth AlphaDEX Fund. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.1%, drawdown -48.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.8%, MDD -35.1%, Sharpe 0.61, 69% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.7%, MDD -40.0%, exposure 84%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=17, slow=187 |
8.8% | -35.1% | 0.61 | 0.25 | 3.6x | 29 | 69% |
| Donchian 채널 돌파 entryN=18, exitN=56 |
9.7% | -40.0% | 0.60 | 0.24 | 4.1x | 41 | 84% |
| EMA 크로스오버 fast=31, slow=187 |
8.6% | -37.6% | 0.59 | 0.23 | 3.5x | 25 | 72% |
| Supertrend period=37, mult=4.8 |
7.7% | -29.2% | 0.55 | 0.26 | 3.1x | 65 | 65% |
| ROC 모멘텀 n=53, threshold=-0.04 |
6.6% | -42.3% | 0.46 | 0.16 | 2.7x | 113 | 81% |
| 볼린저 밴드 돌파 n=74, k=1 |
3.7% | -33.7% | 0.33 | 0.11 | 1.7x | 81 | 57% |
| Parabolic SAR step=0.005, maxStep=0.38 |
2.1% | -28.4% | 0.22 | 0.07 | 1.4x | 146 | 60% |
| ADX / DI 방향성 period=24, threshold=31 |
0.5% | -7.1% | 0.16 | 0.06 | 1.1x | 6 | 2% |
| MACD fast=20, slow=52, signal=19 |
0.9% | -31.0% | 0.13 | 0.03 | 1.1x | 158 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=2.1 |
-0.6% | -45.7% | 0.02 | -0.01 | 0.9x | 110 | 53% |
| Buy and hold | 12.1% | -48.1% | 0.61 | 0.25 | 5.8x | 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 17-day average price crosses above the 187-day average
- Sell — Sell (to cash) when the 17-day average falls below the 187-day average