Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust NASDAQ Cybersecurity ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust NASDAQ Cybersecurity ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 15.8%, MDD -24.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.5%, drawdown -34.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.8%, MDD -24.3%, Sharpe 0.89, 80% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 9.9%p (CAGR 15.8%, MDD -24.3%, exposure 80%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=168, threshold=-0.04 |
15.8% | -24.3% | 0.89 | 0.65 | 5.2x | 45 | 80% |
| SMA 크로스오버 fast=10, slow=199 |
12.7% | -30.3% | 0.78 | 0.42 | 3.8x | 23 | 74% |
| EMA 크로스오버 fast=11, slow=146 |
12.2% | -30.4% | 0.76 | 0.40 | 3.6x | 25 | 73% |
| Donchian 채널 돌파 entryN=19, exitN=79 |
12.6% | -45.7% | 0.71 | 0.28 | 3.8x | 21 | 85% |
| Supertrend period=36, mult=5 |
7.8% | -38.9% | 0.54 | 0.20 | 2.3x | 41 | 67% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=32, mult=1.3 |
6.3% | -23.9% | 0.49 | 0.26 | 2.0x | 93 | 54% |
| 볼린저 밴드 돌파 n=56, k=3.2 |
2.4% | -11.7% | 0.43 | 0.20 | 1.3x | 3 | 4% |
| ADX / DI 방향성 period=32, threshold=20 |
1.5% | -15.4% | 0.25 | 0.10 | 1.2x | 15 | 7% |
| Parabolic SAR step=0.01, maxStep=0.26 |
2.2% | -38.7% | 0.22 | 0.06 | 1.3x | 158 | 58% |
| MACD fast=8, slow=55, signal=10 |
-0.3% | -37.2% | 0.06 | -0.01 | 1.0x | 208 | 51% |
| Buy and hold | 15.5% | -34.3% | 0.73 | 0.45 | 5.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 168-day return is greater than -4%
- Sell — Sell when the 168-day return drops to -4% or below