Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Scotia International Equity Index Tracker ETF backtest
10 trend-following strategies were compared on the full daily history of Scotia International Equity Index Tracker ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.6%, MDD -14.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.8%, drawdown -26.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.6%, MDD -14.8%, Sharpe 0.92, 67% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 11.4%p (CAGR 9.6%, MDD -14.8%, exposure 67%).
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=38, slow=113 |
9.6% | -14.8% | 0.92 | 0.65 | 1.7x | 7 | 67% |
| ROC 모멘텀 n=103, threshold=-0.02 |
8.7% | -15.9% | 0.84 | 0.55 | 1.6x | 13 | 76% |
| EMA 크로스오버 fast=49, slow=86 |
8.5% | -14.8% | 0.79 | 0.57 | 1.6x | 5 | 77% |
| Donchian 채널 돌파 entryN=32, exitN=93 |
7.0% | -16.5% | 0.67 | 0.42 | 1.5x | 9 | 83% |
| ADX / DI 방향성 period=39, threshold=12 |
3.7% | -13.1% | 0.48 | 0.28 | 1.2x | 34 | 55% |
| 볼린저 밴드 돌파 n=45, k=2.5 |
2.1% | -7.5% | 0.42 | 0.28 | 1.1x | 14 | 24% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=14, mult=4 |
1.5% | -9.0% | 0.26 | 0.16 | 1.1x | 26 | 37% |
| Parabolic SAR step=0.015, maxStep=0.18 |
1.8% | -15.7% | 0.24 | 0.12 | 1.1x | 88 | 61% |
| Supertrend period=28, mult=4.9 |
1.2% | -29.9% | 0.17 | 0.04 | 1.1x | 45 | 69% |
| MACD fast=13, slow=18, signal=12 |
-2.7% | -19.8% | -0.30 | -0.13 | 0.9x | 105 | 47% |
| Buy and hold | 10.8% | -26.2% | 0.82 | 0.41 | 1.8x | 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 38-day average price crosses above the 113-day average
- Sell — Sell (to cash) when the 38-day average falls below the 113-day average