Trend-Following Backtester · Guide · backtest 한국어
etf · NZ
Smart Total World (NZD Hedged) ETF Units backtest
10 trend-following strategies were compared on the full daily history of Smart Total World (NZD Hedged) ETF Units. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.5%, MDD -11.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.9%, drawdown -22.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.5%, MDD -11.2%, Sharpe 0.81, 74% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.8%, MDD -22.5%, exposure 96%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 11.0%p (CAGR 9.5%, MDD -11.2%, exposure 74%).
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=45, slow=80 |
9.5% | -11.2% | 0.81 | 0.85 | 1.7x | 9 | 74% |
| ROC 모멘텀 Hold-like · Exposure 96% n=29, threshold=-0.08 |
9.8% | -22.5% | 0.69 | 0.44 | 1.8x | 15 | 96% |
| SMA 크로스오버 fast=52, slow=95 |
8.0% | -15.8% | 0.69 | 0.50 | 1.6x | 11 | 73% |
| Donchian 채널 돌파 entryN=29, exitN=78 |
7.1% | -20.3% | 0.57 | 0.35 | 1.5x | 11 | 86% |
| Supertrend period=14, mult=4.6 |
6.2% | -20.5% | 0.56 | 0.30 | 1.4x | 23 | 71% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=19, mult=2.4 |
0.2% | -20.1% | 0.07 | 0.01 | 1.0x | 33 | 49% |
| ADX / DI 방향성 period=35, threshold=18 |
0.1% | -3.9% | 0.05 | 0.02 | 1.0x | 2 | 2% |
| 볼린저 밴드 돌파 n=55, k=1.5 |
-0.7% | -24.1% | -0.03 | -0.03 | 1.0x | 35 | 52% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-2.4% | -24.8% | -0.16 | -0.10 | 0.9x | 104 | 62% |
| MACD fast=13, slow=40, signal=10 |
-6.7% | -36.9% | -0.64 | -0.18 | 0.7x | 114 | 49% |
| Buy and hold | 11.9% | -22.2% | 0.76 | 0.53 | 2.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 45-day EMA crosses above the 80-day EMA
- Sell — Sell when the 45-day EMA falls below the 80-day EMA