Trend-Following Backtester · Guide · backtest 한국어
etf · US
WisdomTree Cybersecurity Fund backtest
10 trend-following strategies were compared on the full daily history of WisdomTree Cybersecurity Fund. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.9%, MDD -19.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.7%, drawdown -52.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -24.0%, Sharpe 0.63, 52% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 28.5%p (CAGR 7.9%, MDD -19.8%, exposure 34%).
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=17, slow=127 |
11.1% | -24.0% | 0.63 | 0.46 | 1.8x | 9 | 52% |
| Donchian 채널 돌파 entryN=106, exitN=57 |
7.9% | -19.8% | 0.54 | 0.40 | 1.5x | 7 | 34% |
| EMA 크로스오버 fast=34, slow=85 |
9.3% | -28.0% | 0.53 | 0.33 | 1.6x | 11 | 57% |
| ROC 모멘텀 n=115, threshold=-0.01 |
7.9% | -33.0% | 0.47 | 0.24 | 1.5x | 43 | 55% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=26, mult=2.7 |
5.5% | -21.9% | 0.42 | 0.25 | 1.3x | 21 | 32% |
| 볼린저 밴드 돌파 n=57, k=1.2 |
4.7% | -28.6% | 0.34 | 0.16 | 1.3x | 29 | 45% |
| ADX / DI 방향성 period=32, threshold=25 |
1.0% | -11.9% | 0.22 | 0.09 | 1.1x | 2 | 3% |
| Supertrend period=20, mult=4.9 |
0.3% | -46.8% | 0.13 | 0.01 | 1.0x | 23 | 57% |
| MACD fast=9, slow=28, signal=9 |
-8.7% | -63.3% | -0.29 | -0.14 | 0.6x | 122 | 51% |
| Parabolic SAR step=0.03, maxStep=0.16 |
-10.0% | -66.7% | -0.35 | -0.15 | 0.6x | 146 | 56% |
| Buy and hold | 7.7% | -52.5% | 0.39 | 0.15 | 1.5x | 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 17-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 17-day average falls below the 127-day average