Trend-Following Backtester · Guide · backtest 한국어
etf · US
Amplify Cybersecurity ETF backtest
10 trend-following strategies were compared on the full daily history of Amplify Cybersecurity ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.4%, MDD -28.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.1%, drawdown -42.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.4%, MDD -28.0%, Sharpe 0.70, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 12.5%, MDD -39.7%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.7%p lower than buy and hold, while drawdown improves by 14.7%p (CAGR 10.4%, MDD -28.0%, exposure 65%).
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=7, slow=199 |
10.4% | -28.0% | 0.70 | 0.37 | 3.2x | 23 | 65% |
| SMA 크로스오버 fast=6, slow=280 |
9.8% | -29.1% | 0.66 | 0.34 | 3.0x | 23 | 67% |
| ROC 모멘텀 Hold-like · Exposure 99% n=3, threshold=-0.08 |
12.5% | -39.7% | 0.64 | 0.32 | 4.0x | 27 | 99% |
| Donchian 채널 돌파 entryN=52, exitN=56 |
8.4% | -32.3% | 0.58 | 0.26 | 2.6x | 23 | 67% |
| Supertrend period=18, mult=5 |
6.7% | -35.1% | 0.50 | 0.19 | 2.1x | 41 | 59% |
| 볼린저 밴드 돌파 n=55, k=2.7 |
2.8% | -19.2% | 0.38 | 0.15 | 1.4x | 17 | 16% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=18, mult=1.2 |
4.0% | -32.5% | 0.35 | 0.12 | 1.6x | 105 | 51% |
| ADX / DI 방향성 period=38, threshold=12 |
1.1% | -22.7% | 0.16 | 0.05 | 1.1x | 61 | 23% |
| MACD fast=13, slow=54, signal=6 |
-0.1% | -45.0% | 0.07 | -0.00 | 1.0x | 226 | 51% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-1.4% | -45.8% | -0.01 | -0.03 | 0.9x | 236 | 58% |
| Buy and hold | 13.1% | -42.7% | 0.65 | 0.31 | 4.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 7-day EMA crosses above the 199-day EMA
- Sell — Sell when the 7-day EMA falls below the 199-day EMA