Trend-Following Backtester · Guide · backtest 한국어
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Cathay U.S. PHLX Semiconductor Sector ETF backtest
10 trend-following strategies were compared on the full daily history of Cathay U.S. PHLX Semiconductor Sector ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 27.5%, MDD -24.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 26.6%, drawdown -46.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.5%, MDD -24.8%, Sharpe 1.10, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 21.3%p (CAGR 27.5%, MDD -24.8%, exposure 66%).
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=4, slow=252 |
27.5% | -24.8% | 1.10 | 1.11 | 5.8x | 7 | 66% |
| EMA 크로스오버 fast=18, slow=34 |
24.2% | -28.0% | 1.04 | 0.87 | 4.8x | 32 | 70% |
| ROC 모멘텀 n=145, threshold=0.01 |
25.8% | -24.8% | 1.03 | 1.04 | 5.3x | 19 | 68% |
| Donchian 채널 돌파 entryN=66, exitN=76 |
24.0% | -24.8% | 0.99 | 0.97 | 4.8x | 9 | 70% |
| Parabolic SAR step=0.005, maxStep=0.28 |
17.5% | -40.7% | 0.84 | 0.43 | 3.2x | 56 | 61% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=19, mult=2.5 |
15.4% | -26.9% | 0.82 | 0.57 | 2.8x | 50 | 54% |
| 볼린저 밴드 돌파 n=30, k=2.5 |
11.0% | -16.3% | 0.81 | 0.67 | 2.1x | 28 | 28% |
| Supertrend period=23, mult=4.5 |
17.1% | -38.6% | 0.80 | 0.44 | 3.1x | 52 | 62% |
| ADX / DI 방향성 period=20, threshold=29 |
2.3% | -21.3% | 0.29 | 0.11 | 1.2x | 16 | 7% |
| MACD fast=14, slow=27, signal=16 |
3.2% | -44.0% | 0.26 | 0.07 | 1.3x | 118 | 49% |
| Buy and hold | 26.6% | -46.1% | 0.88 | 0.58 | 5.6x | 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 4-day average price crosses above the 252-day average
- Sell — Sell (to cash) when the 4-day average falls below the 252-day average