Trend-Following Backtester · Guide · backtest 한국어
etf · CN
GTJA Allianz CSI All-Share Semiconductor Products & EQPT ETF backtest
10 trend-following strategies were compared on the full daily history of GTJA Allianz CSI All-Share Semiconductor Products & EQPT ETF. 5 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -25.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.7%, drawdown -66.8%).
Sharpe leader (same as main): MACD — CAGR 7.9%, MDD -62.3%, Sharpe 0.44, 50% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.0%, MDD -62.5%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 4.5%p (CAGR 1.3%, MDD -25.7%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=6, slow=27, signal=19 |
7.9% | -62.3% | 0.44 | 0.13 | 1.7x | 111 | 50% |
| EMA 크로스오버 fast=54, slow=115 |
8.0% | -62.5% | 0.41 | 0.13 | 1.8x | 8 | 53% |
| SMA 크로스오버 fast=9, slow=219 |
7.7% | -52.0% | 0.40 | 0.15 | 1.7x | 12 | 48% |
| Donchian 채널 돌파 entryN=102, exitN=70 |
4.6% | -63.7% | 0.38 | 0.07 | 1.4x | 8 | 54% |
| ROC 모멘텀 n=120, threshold=-0.02 |
-0.2% | -67.8% | 0.28 | -0.00 | 1.0x | 60 | 54% |
| ADX / DI 방향성 period=24, threshold=35 |
1.3% | -25.7% | 0.17 | 0.05 | 1.1x | 8 | 6% |
| 볼린저 밴드 돌파 n=36, k=1.7 |
-2.2% | -72.3% | 0.17 | -0.03 | 0.8x | 48 | 36% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=11, mult=2.1 |
-3.4% | -63.7% | 0.12 | -0.05 | 0.8x | 40 | 23% |
| Supertrend period=11, mult=1.7 |
-6.8% | -74.7% | 0.10 | -0.09 | 0.6x | 96 | 45% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-9.2% | -76.2% | 0.04 | -0.12 | 0.5x | 91 | 44% |
| Buy and hold | 0.7% | -66.8% | 0.36 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (6/27) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line