Trend-Following Backtester · Guide · backtest 한국어
etf · US
Invesco PHLX Semiconductor ETF backtest
10 trend-following strategies were compared on the full daily history of Invesco PHLX Semiconductor 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 28.5%, MDD -28.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 27.6%, drawdown -46.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 28.5%, MDD -28.6%, Sharpe 1.05, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 17.9%p (CAGR 28.5%, MDD -28.6%, exposure 59%).
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=30, slow=180 |
28.5% | -28.6% | 1.05 | 1.00 | 3.7x | 3 | 59% |
| EMA 크로스오버 fast=15, slow=179 |
27.4% | -28.6% | 0.99 | 0.96 | 3.5x | 5 | 64% |
| ROC 모멘텀 n=175, threshold=-0.05 |
27.1% | -28.6% | 0.96 | 0.95 | 3.5x | 11 | 67% |
| Donchian 채널 돌파 entryN=40, exitN=74 |
26.7% | -29.5% | 0.92 | 0.90 | 3.4x | 7 | 73% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=15, mult=3 |
19.5% | -16.3% | 0.92 | 1.19 | 2.5x | 20 | 41% |
| MACD fast=23, slow=57, signal=22 |
21.0% | -30.0% | 0.89 | 0.70 | 2.7x | 40 | 46% |
| 볼린저 밴드 돌파 n=26, k=2.7 |
10.4% | -12.8% | 0.79 | 0.81 | 1.7x | 10 | 13% |
| Supertrend period=19, mult=4.3 |
18.9% | -26.0% | 0.78 | 0.73 | 2.5x | 22 | 63% |
| ADX / DI 방향성 period=21, threshold=17 |
14.4% | -17.5% | 0.75 | 0.83 | 2.0x | 36 | 34% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-2.1% | -58.6% | 0.05 | -0.04 | 0.9x | 126 | 55% |
| Buy and hold | 27.6% | -46.5% | 0.83 | 0.59 | 3.6x | 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 30-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 30-day average falls below the 180-day average