Trend-Following Backtester · Guide · backtest 한국어
etf · US
SonicShares Global Shipping ETF backtest
10 trend-following strategies were compared on the full daily history of SonicShares Global Shipping ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.3%, MDD -32.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.2%, drawdown -42.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.3%, MDD -32.6%, Sharpe 0.80, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 9.4%p (CAGR 14.3%, MDD -32.6%, exposure 58%).
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=63, slow=123 |
14.3% | -32.6% | 0.80 | 0.44 | 2.0x | 7 | 58% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=11, mult=1.8 |
8.6% | -17.7% | 0.70 | 0.49 | 1.5x | 46 | 29% |
| ADX / DI 방향성 period=39, threshold=12 |
8.5% | -21.9% | 0.70 | 0.39 | 1.5x | 27 | 31% |
| MACD fast=9, slow=26, signal=14 |
11.0% | -33.3% | 0.69 | 0.33 | 1.7x | 82 | 49% |
| ROC 모멘텀 n=83, threshold=-0.03 |
12.0% | -33.9% | 0.69 | 0.35 | 1.8x | 39 | 65% |
| Supertrend period=11, mult=1.7 |
11.1% | -36.5% | 0.67 | 0.30 | 1.7x | 102 | 55% |
| EMA 크로스오버 fast=54, slow=76 |
11.3% | -31.7% | 0.66 | 0.36 | 1.7x | 9 | 58% |
| Donchian 채널 돌파 entryN=43, exitN=78 |
11.9% | -33.3% | 0.66 | 0.36 | 1.8x | 7 | 72% |
| 볼린저 밴드 돌파 n=55, k=2.8 |
5.7% | -11.7% | 0.64 | 0.49 | 1.3x | 7 | 15% |
| Parabolic SAR step=0.005, maxStep=0.1 |
10.2% | -27.9% | 0.64 | 0.37 | 1.6x | 46 | 55% |
| Buy and hold | 15.2% | -42.0% | 0.68 | 0.36 | 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 63-day average price crosses above the 123-day average
- Sell — Sell (to cash) when the 63-day average falls below the 123-day average