Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust NASDAQ-100-Technology Sector Index Fund backtest
10 trend-following strategies were compared on the full daily history of First Trust NASDAQ-100-Technology Sector Index Fund. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.1%, MDD -28.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.7%, drawdown -58.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.1%, MDD -28.5%, Sharpe 0.73, 74% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 30.4%p (CAGR 12.1%, MDD -28.5%, exposure 74%).
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=8, slow=122 |
12.1% | -28.5% | 0.73 | 0.43 | 10.2x | 59 | 74% |
| SMA 크로스오버 fast=31, slow=217 |
11.9% | -32.3% | 0.69 | 0.37 | 9.8x | 27 | 73% |
| Supertrend period=20, mult=4.8 |
8.7% | -24.8% | 0.60 | 0.35 | 5.4x | 80 | 61% |
| ROC 모멘텀 n=141, threshold=0.01 |
9.3% | -38.9% | 0.59 | 0.24 | 6.1x | 135 | 70% |
| Donchian 채널 돌파 entryN=41, exitN=43 |
9.2% | -36.4% | 0.59 | 0.25 | 6.0x | 56 | 70% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=17, mult=2.9 |
3.4% | -26.3% | 0.33 | 0.13 | 2.0x | 108 | 40% |
| 볼린저 밴드 돌파 n=50, k=0.9 |
3.4% | -43.9% | 0.29 | 0.08 | 2.0x | 172 | 57% |
| Parabolic SAR step=0.005, maxStep=0.34 |
2.2% | -48.7% | 0.21 | 0.05 | 1.6x | 201 | 64% |
| ADX / DI 방향성 period=40, threshold=16 |
0.9% | -25.3% | 0.15 | 0.03 | 1.2x | 50 | 13% |
| MACD fast=10, slow=39, signal=12 |
0.4% | -44.6% | 0.11 | 0.01 | 1.1x | 342 | 52% |
| Buy and hold | 14.7% | -58.9% | 0.65 | 0.25 | 16.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 8-day EMA crosses above the 122-day EMA
- Sell — Sell when the 8-day EMA falls below the 122-day EMA