Trend-Following Backtester · Guide · backtest 한국어
etf · AU
BetaShares Global Cybersecurity ETF backtest
10 trend-following strategies were compared on the full daily history of BetaShares Global Cybersecurity ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.6%, drawdown -33.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.0%, MDD -17.3%, Sharpe 0.54, 40% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.5%, MDD -29.8%, exposure 62%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=50, k=2.1 |
6.0% | -17.3% | 0.54 | 0.35 | 1.8x | 40 | 40% |
| SMA 크로스오버 fast=50, slow=148 |
7.5% | -29.8% | 0.52 | 0.25 | 2.0x | 17 | 62% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=12, mult=3.2 |
5.6% | -18.6% | 0.50 | 0.30 | 1.7x | 44 | 41% |
| Donchian 채널 돌파 entryN=46, exitN=19 |
5.4% | -19.0% | 0.47 | 0.28 | 1.7x | 48 | 44% |
| EMA 크로스오버 fast=34, slow=79 |
5.8% | -32.9% | 0.42 | 0.18 | 1.7x | 23 | 67% |
| ROC 모멘텀 n=119, threshold=-0.02 |
4.6% | -37.9% | 0.35 | 0.12 | 1.6x | 89 | 68% |
| MACD fast=21, slow=71, signal=24 |
2.7% | -36.2% | 0.25 | 0.08 | 1.3x | 94 | 50% |
| ADX / DI 방향성 period=28, threshold=13 |
1.9% | -32.0% | 0.21 | 0.06 | 1.2x | 67 | 36% |
| Supertrend period=9, mult=4.5 |
2.1% | -46.5% | 0.21 | 0.04 | 1.2x | 67 | 54% |
| Parabolic SAR step=0.005, maxStep=0.18 |
1.3% | -37.6% | 0.16 | 0.04 | 1.1x | 81 | 53% |
| Buy and hold | 12.6% | -33.6% | 0.64 | 0.38 | 3.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 50-day average (2.1× volatility)
- Sell — Sell when the close falls back to the 50-day middle average