Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Global X Artificial Intelligence Semiconductor Index ETF Class A backtest
10 trend-following strategies were compared on the full daily history of Global X Artificial Intelligence Semiconductor Index ETF Class A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 28.8%, MDD -24.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 25.4%, drawdown -48.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 28.8%, MDD -24.9%, Sharpe 1.16, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 28.8%, MDD -24.9%, exposure 55%).
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=58, slow=182 |
28.8% | -24.9% | 1.16 | 1.16 | 3.6x | 5 | 55% |
| EMA 크로스오버 fast=25, slow=175 |
26.8% | -24.9% | 1.05 | 1.08 | 3.4x | 3 | 64% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=16, mult=3.1 |
18.7% | -11.2% | 1.01 | 1.66 | 2.4x | 22 | 33% |
| ROC 모멘텀 n=168, threshold=-0.04 |
23.4% | -24.9% | 0.93 | 0.94 | 2.9x | 21 | 65% |
| Donchian 채널 돌파 entryN=46, exitN=47 |
21.1% | -32.2% | 0.89 | 0.66 | 2.7x | 12 | 61% |
| 볼린저 밴드 돌파 n=35, k=2.3 |
14.6% | -24.4% | 0.85 | 0.60 | 2.0x | 20 | 31% |
| Supertrend period=20, mult=4.7 |
18.0% | -22.1% | 0.79 | 0.82 | 2.3x | 24 | 62% |
| MACD fast=18, slow=51, signal=16 |
14.8% | -32.4% | 0.73 | 0.46 | 2.0x | 52 | 47% |
| ADX / DI 방향성 period=16, threshold=22 |
11.0% | -18.9% | 0.72 | 0.58 | 1.7x | 34 | 29% |
| Parabolic SAR step=0.005, maxStep=0.22 |
0.5% | -37.6% | 0.14 | 0.01 | 1.0x | 58 | 57% |
| Buy and hold | 25.4% | -48.2% | 0.83 | 0.53 | 3.2x | 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 58-day average price crosses above the 182-day average
- Sell — Sell (to cash) when the 58-day average falls below the 182-day average