Trend-Following Backtester · Guide · backtest 한국어
etf · AU
BetaShares NASDAQ 100 ETF Currency Hedged backtest
10 trend-following strategies were compared on the full daily history of BetaShares NASDAQ 100 ETF Currency Hedged. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.5%, MDD -16.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.0%, drawdown -38.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.5%, MDD -16.8%, Sharpe 0.87, 73% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 21.3%p (CAGR 13.5%, MDD -16.8%, exposure 73%).
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=59, slow=89 |
13.5% | -16.8% | 0.87 | 0.80 | 2.2x | 7 | 73% |
| SMA 크로스오버 fast=21, slow=242 |
11.9% | -16.8% | 0.83 | 0.71 | 2.0x | 5 | 64% |
| ROC 모멘텀 n=131, threshold=0 |
9.3% | -17.9% | 0.65 | 0.52 | 1.7x | 21 | 70% |
| Supertrend period=5, mult=5 |
7.6% | -29.8% | 0.61 | 0.25 | 1.6x | 35 | 55% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=26, mult=2.6 |
6.4% | -14.3% | 0.61 | 0.45 | 1.5x | 33 | 45% |
| Donchian 채널 돌파 entryN=20, exitN=73 |
10.0% | -37.7% | 0.61 | 0.27 | 1.8x | 15 | 84% |
| 볼린저 밴드 돌파 n=42, k=2.5 |
4.5% | -10.9% | 0.58 | 0.41 | 1.3x | 14 | 24% |
| Parabolic SAR step=0.005, maxStep=0.04 |
7.2% | -23.6% | 0.56 | 0.30 | 1.5x | 47 | 61% |
| MACD fast=24, slow=69, signal=23 |
5.3% | -33.7% | 0.46 | 0.16 | 1.4x | 47 | 50% |
| ADX / DI 방향성 period=20, threshold=30 |
0.6% | -7.0% | 0.18 | 0.08 | 1.0x | 6 | 4% |
| Buy and hold | 14.0% | -38.1% | 0.67 | 0.37 | 2.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 89-day EMA
- Sell — Sell when the 59-day EMA falls below the 89-day EMA