Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Global X Japan Semiconductor ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Japan Semiconductor ETF. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 20.6%, MDD -20.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 11.0%, drawdown -76.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 33.0%, MDD -32.9%, Sharpe 1.14, 59% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.0%p higher than buy and hold, while drawdown improves by 43.3%p (CAGR 20.6%, MDD -20.5%, exposure 44%).
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=5, slow=165 |
33.0% | -32.9% | 1.14 | 1.00 | 4.2x | 7 | 59% |
| ROC 모멘텀 n=105, threshold=-0.03 |
32.9% | -32.9% | 1.13 | 1.00 | 4.2x | 17 | 62% |
| EMA 크로스오버 fast=41, slow=100 |
29.7% | -32.9% | 1.05 | 0.90 | 3.7x | 3 | 59% |
| Donchian 채널 돌파 entryN=80, exitN=52 |
24.4% | -33.3% | 0.96 | 0.74 | 3.0x | 6 | 52% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=26, mult=1.7 |
20.6% | -20.5% | 0.92 | 1.00 | 2.6x | 30 | 44% |
| ADX / DI 방향성 period=14, threshold=16 |
19.2% | -27.1% | 0.87 | 0.71 | 2.4x | 61 | 45% |
| 볼린저 밴드 돌파 n=32, k=1.5 |
17.3% | -29.3% | 0.81 | 0.59 | 2.2x | 38 | 42% |
| Parabolic SAR step=0.01, maxStep=0.06 |
16.2% | -37.2% | 0.72 | 0.43 | 2.1x | 54 | 56% |
| Supertrend period=25, mult=3.8 |
16.2% | -35.5% | 0.72 | 0.46 | 2.1x | 28 | 56% |
| MACD fast=22, slow=63, signal=21 |
7.3% | -63.6% | 0.42 | 0.11 | 1.4x | 30 | 50% |
| Buy and hold | 11.0% | -76.3% | 0.50 | 0.14 | 1.7x | 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 5-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 5-day average falls below the 165-day average