Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust NASDAQ Clean Edge Green Energy Index Fund backtest
10 trend-following strategies were compared on the full daily history of First Trust NASDAQ Clean Edge Green Energy Index Fund. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.8%, MDD -37.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.7%, drawdown -76.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.8%, MDD -37.1%, Sharpe 0.38, 24% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 5.8%, MDD -53.7%, exposure 52%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 39.1%p (CAGR 4.8%, MDD -37.1%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=112, exitN=18 |
4.8% | -37.1% | 0.38 | 0.13 | 2.5x | 52 | 24% |
| EMA 크로스오버 fast=34, slow=195 |
5.8% | -53.7% | 0.37 | 0.11 | 3.0x | 27 | 52% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=22, mult=4 |
3.0% | -21.2% | 0.36 | 0.14 | 1.8x | 24 | 7% |
| SMA 크로스오버 fast=75, slow=197 |
5.8% | -61.1% | 0.36 | 0.09 | 3.0x | 27 | 49% |
| ADX / DI 방향성 period=29, threshold=20 |
3.5% | -26.9% | 0.36 | 0.13 | 2.0x | 38 | 11% |
| ROC 모멘텀 n=126, threshold=0.09 |
4.6% | -49.6% | 0.33 | 0.09 | 2.4x | 148 | 36% |
| Supertrend period=20, mult=4.9 |
3.9% | -63.6% | 0.28 | 0.06 | 2.1x | 76 | 56% |
| 볼린저 밴드 돌파 n=38, k=1.4 |
3.2% | -47.1% | 0.26 | 0.07 | 1.8x | 142 | 42% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.6% | -59.2% | 0.19 | 0.03 | 1.4x | 174 | 55% |
| MACD fast=17, slow=26, signal=9 |
-0.0% | -56.5% | 0.12 | -0.00 | 1.0x | 324 | 51% |
| Buy and hold | 4.7% | -76.2% | 0.31 | 0.06 | 2.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 112 days
- Sell — Sell when price breaks below the lowest low of the last 18 days