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. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.9%, MDD -17.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.4%, drawdown -52.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.7%, MDD -24.0%, Sharpe 0.78, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 28.5%p (CAGR 10.9%, MDD -17.2%, exposure 30%).
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=125 |
15.7% | -24.0% | 0.78 | 0.65 | 2.3x | 9 | 54% |
| EMA 크로스오버 fast=44, slow=63 |
13.6% | -25.9% | 0.69 | 0.53 | 2.1x | 11 | 57% |
| Donchian 채널 돌파 entryN=106, exitN=21 |
10.9% | -17.2% | 0.68 | 0.64 | 1.8x | 11 | 30% |
| ADX / DI 방향성 period=40, threshold=12 |
8.6% | -17.9% | 0.61 | 0.48 | 1.6x | 19 | 19% |
| ROC 모멘텀 n=54, threshold=-0.02 |
12.1% | -35.4% | 0.60 | 0.34 | 1.9x | 57 | 63% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=26, mult=2.7 |
9.2% | -21.9% | 0.58 | 0.42 | 1.7x | 21 | 34% |
| 볼린저 밴드 돌파 n=58, k=2.9 |
7.2% | -14.7% | 0.55 | 0.49 | 1.5x | 5 | 15% |
| Supertrend period=27, mult=4.8 |
4.2% | -46.8% | 0.29 | 0.09 | 1.3x | 25 | 57% |
| Parabolic SAR step=0.06, maxStep=0.18 |
-3.2% | -49.2% | -0.03 | -0.06 | 0.8x | 192 | 55% |
| MACD fast=8, slow=47, signal=3 |
-5.5% | -62.0% | -0.13 | -0.09 | 0.7x | 184 | 52% |
| Buy and hold | 11.4% | -52.5% | 0.49 | 0.22 | 1.8x | 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 125-day average
- Sell — Sell (to cash) when the 17-day average falls below the 125-day average