Trend-Following Backtester · Guide · backtest 한국어
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CTBC Taiwan ESG Leading Semiconductor ETF Units backtest
10 trend-following strategies were compared on the full daily history of CTBC Taiwan ESG Leading Semiconductor ETF Units. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.9%, MDD -24.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 16.4%, drawdown -46.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 20.2%, MDD -24.0%, Sharpe 1.04, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 22.9%p (CAGR 19.9%, MDD -24.0%, exposure 52%).
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=41, slow=217 |
20.2% | -24.0% | 1.04 | 0.84 | 2.6x | 3 | 59% |
| SMA 크로스오버 fast=44, slow=181 |
19.9% | -24.0% | 1.03 | 0.83 | 2.6x | 5 | 52% |
| Donchian 채널 돌파 entryN=64, exitN=69 |
17.8% | -25.9% | 0.95 | 0.69 | 2.3x | 5 | 57% |
| ROC 모멘텀 n=250, threshold=-0.05 |
16.6% | -26.7% | 0.90 | 0.62 | 2.2x | 17 | 55% |
| MACD fast=15, slow=56, signal=19 |
13.5% | -19.5% | 0.88 | 0.69 | 1.9x | 50 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=10, mult=2.9 |
13.3% | -17.1% | 0.85 | 0.77 | 1.9x | 20 | 45% |
| Supertrend period=23, mult=2.3 |
13.5% | -20.3% | 0.83 | 0.66 | 1.9x | 70 | 60% |
| Parabolic SAR step=0.025, maxStep=0.22 |
12.0% | -25.7% | 0.80 | 0.46 | 1.8x | 112 | 54% |
| ADX / DI 방향성 period=32, threshold=12 |
12.0% | -16.9% | 0.78 | 0.71 | 1.8x | 34 | 42% |
| 볼린저 밴드 돌파 n=22, k=2.6 |
6.5% | -11.5% | 0.73 | 0.56 | 1.4x | 14 | 12% |
| Buy and hold | 16.4% | -46.8% | 0.72 | 0.35 | 2.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 41-day EMA crosses above the 217-day EMA
- Sell — Sell when the 41-day EMA falls below the 217-day EMA