Trend-Following Backtester · Guide · backtest 한국어
etf · US
Columbia Seligman Premium Technology Growth Fund Inc backtest
10 trend-following strategies were compared on the full daily history of Columbia Seligman Premium Technology Growth Fund Inc. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -42.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.9%, MDD -42.8%, Sharpe 0.35, 55% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=95, slow=223 |
4.9% | -42.8% | 0.35 | 0.11 | 2.2x | 15 | 55% |
| Donchian 채널 돌파 entryN=99, exitN=76 |
3.9% | -29.2% | 0.33 | 0.13 | 1.9x | 21 | 48% |
| EMA 크로스오버 fast=36, slow=193 |
2.9% | -39.9% | 0.25 | 0.07 | 1.6x | 25 | 57% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=27, mult=3.1 |
0.5% | -4.6% | 0.24 | 0.11 | 1.1x | 6 | 1% |
| ADX / DI 방향성 period=18, threshold=38 |
0.6% | -6.5% | 0.24 | 0.09 | 1.1x | 4 | 1% |
| 볼린저 밴드 돌파 n=32, k=3.2 |
0.5% | -12.0% | 0.15 | 0.04 | 1.1x | 6 | 2% |
| Supertrend period=26, mult=4.4 |
-0.6% | -49.8% | 0.04 | -0.01 | 0.9x | 74 | 54% |
| ROC 모멘텀 n=128, threshold=0.02 |
-0.6% | -56.6% | 0.04 | -0.01 | 0.9x | 135 | 52% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-1.7% | -53.7% | -0.03 | -0.03 | 0.8x | 154 | 54% |
| MACD fast=28, slow=34, signal=18 |
-4.1% | -67.2% | -0.19 | -0.06 | 0.5x | 182 | 50% |
| Buy and hold | 5.5% | -42.8% | 0.34 | 0.13 | 2.4x | 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 95-day average price crosses above the 223-day average
- Sell — Sell (to cash) when the 95-day average falls below the 223-day average