Trend-Following Backtester · Guide · backtest 한국어
etf · PL
Beta ETF WIG20TR backtest
10 trend-following strategies were compared on the full daily history of Beta ETF WIG20TR. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.3%, MDD -14.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.4%, drawdown -43.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.3%, MDD -14.9%, Sharpe 1.01, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 28.8%p (CAGR 15.3%, MDD -14.9%, exposure 58%).
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=40, slow=185 |
15.3% | -14.9% | 1.01 | 1.03 | 3.0x | 5 | 58% |
| Donchian 채널 돌파 entryN=69, exitN=92 |
14.6% | -19.4% | 0.97 | 0.75 | 2.8x | 5 | 57% |
| EMA 크로스오버 fast=42, slow=151 |
14.5% | -16.0% | 0.94 | 0.91 | 2.8x | 5 | 61% |
| ROC 모멘텀 n=138, threshold=0.02 |
13.4% | -25.1% | 0.87 | 0.53 | 2.6x | 21 | 60% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=20, mult=1.7 |
8.5% | -13.6% | 0.65 | 0.63 | 1.9x | 41 | 50% |
| 볼린저 밴드 돌파 n=59, k=1.4 |
7.9% | -17.9% | 0.62 | 0.44 | 1.8x | 33 | 48% |
| Supertrend period=27, mult=2.8 |
7.7% | -22.9% | 0.55 | 0.34 | 1.8x | 61 | 62% |
| MACD fast=16, slow=45, signal=5 |
5.9% | -25.7% | 0.47 | 0.23 | 1.6x | 132 | 50% |
| ADX / DI 방향성 period=17, threshold=25 |
2.8% | -11.5% | 0.36 | 0.25 | 1.2x | 35 | 18% |
| Parabolic SAR step=0.01, maxStep=0.18 |
2.5% | -30.1% | 0.24 | 0.08 | 1.2x | 109 | 57% |
| Buy and hold | 10.4% | -43.7% | 0.55 | 0.24 | 2.1x | 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 40-day average price crosses above the 185-day average
- Sell — Sell (to cash) when the 40-day average falls below the 185-day average