Trend-Following Backtester · Guide · backtest 한국어
etf · HK
Global X Asia Semiconductor ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Asia Semiconductor ETF. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 30.4%, MDD -32.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 27.4%, drawdown -45.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 30.4%, MDD -32.4%, Sharpe 1.14, 67% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 12.9%p (CAGR 30.4%, MDD -32.4%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=174, threshold=-0.04 |
30.4% | -32.4% | 1.14 | 0.94 | 3.8x | 15 | 67% |
| EMA 크로스오버 fast=74, slow=158 |
30.0% | -32.4% | 1.09 | 0.92 | 3.7x | 3 | 67% |
| SMA 크로스오버 fast=57, slow=207 |
29.8% | -32.4% | 1.09 | 0.92 | 3.7x | 3 | 68% |
| Donchian 채널 돌파 entryN=44, exitN=52 |
21.1% | -28.6% | 0.91 | 0.74 | 2.6x | 10 | 67% |
| MACD fast=19, slow=49, signal=18 |
16.4% | -24.7% | 0.88 | 0.66 | 2.1x | 46 | 52% |
| 볼린저 밴드 돌파 n=28, k=0.9 |
16.2% | -20.5% | 0.88 | 0.79 | 2.1x | 56 | 48% |
| Supertrend period=29, mult=4.8 |
15.8% | -24.1% | 0.83 | 0.66 | 2.1x | 30 | 57% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=20, mult=2.7 |
12.8% | -22.3% | 0.76 | 0.57 | 1.8x | 34 | 36% |
| Parabolic SAR step=0.005, maxStep=0.28 |
14.2% | -21.2% | 0.76 | 0.67 | 1.9x | 36 | 61% |
| ADX / DI 방향성 period=28, threshold=13 |
8.3% | -28.9% | 0.50 | 0.29 | 1.5x | 48 | 45% |
| Buy and hold | 27.4% | -45.3% | 0.91 | 0.60 | 3.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 174-day return is greater than -4%
- Sell — Sell when the 174-day return drops to -4% or below