Trend-Following Backtester · Guide · backtest 한국어
etf · AU
BetaShares Asia Technology Tigers ETF backtest
10 trend-following strategies were compared on the full daily history of BetaShares Asia Technology Tigers ETF. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.7%, MDD -25.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 16.7%, drawdown -61.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.7%, MDD -27.8%, Sharpe 1.12, 71% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 33.5%p (CAGR 17.7%, MDD -25.8%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=75, slow=182 |
24.7% | -27.8% | 1.12 | 0.89 | 5.9x | 3 | 71% |
| EMA 크로스오버 fast=51, slow=236 |
22.5% | -31.0% | 1.05 | 0.72 | 5.1x | 3 | 64% |
| ROC 모멘텀 n=140, threshold=-0.07 |
22.8% | -29.0% | 1.02 | 0.78 | 5.2x | 17 | 76% |
| 볼린저 밴드 돌파 n=51, k=1.1 |
15.2% | -30.0% | 0.93 | 0.51 | 3.1x | 41 | 51% |
| Donchian 채널 돌파 entryN=52, exitN=72 |
17.7% | -25.8% | 0.87 | 0.69 | 3.7x | 11 | 65% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=8, mult=1.2 |
13.4% | -35.4% | 0.82 | 0.38 | 2.8x | 63 | 54% |
| Supertrend period=13, mult=3.8 |
13.6% | -31.4% | 0.78 | 0.43 | 2.8x | 40 | 60% |
| ADX / DI 방향성 period=21, threshold=8 |
12.2% | -40.6% | 0.75 | 0.30 | 2.5x | 101 | 55% |
| Parabolic SAR step=0.005, maxStep=0.38 |
8.1% | -47.3% | 0.52 | 0.17 | 1.9x | 69 | 60% |
| MACD fast=18, slow=70, signal=17 |
3.9% | -46.0% | 0.31 | 0.09 | 1.4x | 89 | 53% |
| Buy and hold | 16.7% | -61.3% | 0.71 | 0.27 | 3.5x | 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 75-day average price crosses above the 182-day average
- Sell — Sell (to cash) when the 75-day average falls below the 182-day average