Trend-Following Backtester · Guide · backtest 한국어
etf · PL
Beta ETF WIG20TR backtest
10 trend-following strategies were compared on the full daily history of Beta ETF WIG20TR. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.9%, MDD -14.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.0%, drawdown -43.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.9%, MDD -14.9%, Sharpe 0.99, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 28.8%p (CAGR 14.9%, MDD -14.9%, exposure 57%).
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=40, slow=185 |
14.9% | -14.9% | 0.99 | 1.00 | 2.9x | 5 | 57% |
| Donchian 채널 돌파 entryN=69, exitN=92 |
14.2% | -19.4% | 0.95 | 0.73 | 2.7x | 5 | 56% |
| EMA 크로스오버 fast=42, slow=151 |
14.2% | -16.0% | 0.92 | 0.89 | 2.7x | 5 | 60% |
| ROC 모멘텀 n=138, threshold=0.02 |
13.0% | -25.1% | 0.85 | 0.52 | 2.5x | 21 | 60% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=20, mult=1.7 |
8.1% | -13.6% | 0.63 | 0.60 | 1.8x | 41 | 50% |
| 볼린저 밴드 돌파 n=59, k=1.4 |
7.4% | -17.9% | 0.59 | 0.42 | 1.7x | 33 | 47% |
| Supertrend period=27, mult=2.8 |
7.3% | -22.9% | 0.52 | 0.32 | 1.7x | 61 | 61% |
| MACD fast=16, slow=45, signal=5 |
5.8% | -25.7% | 0.47 | 0.23 | 1.5x | 131 | 50% |
| ADX / DI 방향성 period=17, threshold=25 |
2.8% | -11.5% | 0.36 | 0.25 | 1.2x | 34 | 17% |
| Parabolic SAR step=0.01, maxStep=0.18 |
2.3% | -30.1% | 0.23 | 0.08 | 1.2x | 107 | 57% |
| Buy and hold | 10.0% | -43.7% | 0.54 | 0.23 | 2.1x | 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 40-day average price crosses above the 185-day average
- Sell — Sell (to cash) when the 40-day average falls below the 185-day average