Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Global X Semiconductor ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Semiconductor ETF. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 28.8%, MDD -21.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 28.1%, drawdown -39.1%).
Sharpe leader (same as main): Supertrend — CAGR 28.8%, MDD -21.3%, Sharpe 1.22, 63% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 30.0%, MDD -32.1%, exposure 68%.
Return/drawdown alternative: Supertrend — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 17.8%p (CAGR 28.8%, MDD -21.3%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=29, mult=4.9 |
28.8% | -21.3% | 1.22 | 1.35 | 3.6x | 22 | 63% |
| Donchian 채널 돌파 entryN=44, exitN=49 |
28.8% | -26.1% | 1.16 | 1.11 | 3.6x | 10 | 66% |
| 볼린저 밴드 돌파 n=22, k=2.3 |
19.5% | -15.1% | 1.14 | 1.29 | 2.4x | 26 | 29% |
| EMA 크로스오버 fast=25, slow=212 |
30.0% | -32.1% | 1.11 | 0.94 | 3.7x | 3 | 68% |
| SMA 크로스오버 fast=33, slow=131 |
27.5% | -32.1% | 1.06 | 0.86 | 3.4x | 7 | 63% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=21, mult=3.4 |
18.9% | -16.5% | 1.03 | 1.15 | 2.4x | 26 | 40% |
| ROC 모멘텀 n=132, threshold=0.12 |
23.3% | -32.1% | 1.03 | 0.73 | 2.9x | 11 | 47% |
| MACD fast=19, slow=40, signal=19 |
21.2% | -25.1% | 1.01 | 0.85 | 2.6x | 40 | 47% |
| Parabolic SAR step=0.005, maxStep=0.24 |
20.5% | -24.1% | 0.99 | 0.85 | 2.5x | 44 | 51% |
| ADX / DI 방향성 period=38, threshold=8 |
15.7% | -29.5% | 0.75 | 0.53 | 2.1x | 42 | 58% |
| Buy and hold | 28.1% | -39.1% | 0.91 | 0.72 | 3.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 29-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)