Trend-Following Backtester · Guide · backtest 한국어
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Yuanta Taiwan High Dividend Low Volatility ETF backtest
10 trend-following strategies were compared on the full daily history of Yuanta Taiwan High Dividend Low Volatility ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.4%, MDD -11.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.5%, drawdown -28.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.0%, MDD -12.6%, Sharpe 1.06, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 16.1%p (CAGR 9.4%, MDD -11.7%, exposure 63%).
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=41, slow=98 |
10.0% | -12.6% | 1.06 | 0.80 | 2.4x | 17 | 64% |
| EMA 크로스오버 fast=45, slow=144 |
9.4% | -11.7% | 1.00 | 0.80 | 2.3x | 9 | 63% |
| ROC 모멘텀 n=148, threshold=0.08 |
6.8% | -11.3% | 0.95 | 0.60 | 1.8x | 35 | 36% |
| Donchian 채널 돌파 entryN=97, exitN=61 |
7.9% | -13.6% | 0.91 | 0.58 | 2.0x | 9 | 49% |
| 볼린저 밴드 돌파 n=74, k=0.9 |
6.0% | -12.7% | 0.74 | 0.47 | 1.7x | 39 | 52% |
| Parabolic SAR step=0.01, maxStep=0.1 |
3.9% | -16.8% | 0.49 | 0.23 | 1.4x | 104 | 56% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=9, mult=1.8 |
3.6% | -22.4% | 0.48 | 0.16 | 1.4x | 57 | 48% |
| Supertrend period=8, mult=4.8 |
3.7% | -22.3% | 0.47 | 0.16 | 1.4x | 43 | 48% |
| ADX / DI 방향성 period=21, threshold=26 |
2.1% | -7.3% | 0.43 | 0.29 | 1.2x | 22 | 17% |
| MACD fast=9, slow=33, signal=17 |
1.2% | -21.9% | 0.19 | 0.06 | 1.1x | 128 | 51% |
| Buy and hold | 8.5% | -28.7% | 0.69 | 0.30 | 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 41-day average price crosses above the 98-day average
- Sell — Sell (to cash) when the 41-day average falls below the 98-day average