Trend-Following Backtester · Guide · backtest 한국어
etf · CN
GTJA Allianz CSI All-Share Semiconductor Products & EQPT ETF backtest
10 trend-following strategies were compared on the full daily history of GTJA Allianz CSI All-Share Semiconductor Products & EQPT ETF. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -25.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.2%, drawdown -66.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.1%, MDD -62.5%, Sharpe 0.42, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 4.2%p (CAGR 1.3%, MDD -25.7%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=54, slow=115 |
8.1% | -62.5% | 0.42 | 0.13 | 1.8x | 8 | 54% |
| MACD fast=6, slow=27, signal=19 |
6.8% | -62.3% | 0.41 | 0.11 | 1.6x | 110 | 49% |
| SMA 크로스오버 fast=9, slow=219 |
7.8% | -52.0% | 0.41 | 0.15 | 1.7x | 12 | 48% |
| Donchian 채널 돌파 entryN=102, exitN=70 |
4.6% | -63.7% | 0.38 | 0.07 | 1.4x | 8 | 55% |
| ROC 모멘텀 n=120, threshold=-0.02 |
-0.2% | -67.8% | 0.29 | -0.00 | 1.0x | 60 | 55% |
| ADX / DI 방향성 period=24, threshold=35 |
1.3% | -25.7% | 0.17 | 0.05 | 1.1x | 8 | 6% |
| 볼린저 밴드 돌파 n=36, k=1.7 |
-2.3% | -72.3% | 0.17 | -0.03 | 0.8x | 48 | 37% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=11, mult=2.1 |
-3.4% | -63.7% | 0.12 | -0.05 | 0.8x | 40 | 23% |
| Supertrend period=11, mult=1.7 |
-6.9% | -74.7% | 0.10 | -0.09 | 0.6x | 96 | 45% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-9.2% | -75.6% | 0.04 | -0.12 | 0.5x | 90 | 45% |
| Buy and hold | -0.2% | -66.7% | 0.35 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 54-day EMA crosses above the 115-day EMA
- Sell — Sell when the 54-day EMA falls below the 115-day EMA