Trend-Following Backtester · Guide · backtest 한국어
etf · TH
3BB Internet Infrastructure Fund Units backtest
10 trend-following strategies were compared on the full daily history of 3BB Internet Infrastructure Fund Units. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.5%, MDD -24.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.4%, drawdown -60.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.7%, MDD -31.4%, Sharpe 0.19, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 28.8%p (CAGR 0.5%, MDD -24.3%, exposure 11%).
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=35, slow=81 |
1.7% | -31.4% | 0.19 | 0.06 | 1.2x | 30 | 51% |
| EMA 크로스오버 fast=10, slow=80 |
1.4% | -30.0% | 0.17 | 0.05 | 1.2x | 37 | 47% |
| Supertrend period=18, mult=4.7 |
1.3% | -39.1% | 0.16 | 0.03 | 1.2x | 28 | 49% |
| Donchian 채널 돌파 entryN=70, exitN=45 |
0.7% | -31.4% | 0.12 | 0.02 | 1.1x | 18 | 40% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=11, mult=4 |
0.5% | -24.3% | 0.11 | 0.02 | 1.1x | 12 | 11% |
| ADX / DI 방향성 period=26, threshold=19 |
-0.8% | -26.6% | 0.01 | -0.03 | 0.9x | 66 | 24% |
| 볼린저 밴드 돌파 n=68, k=1.7 |
-0.8% | -31.8% | 0.01 | -0.03 | 0.9x | 36 | 27% |
| Parabolic SAR step=0.03, maxStep=0.28 |
-1.7% | -34.8% | -0.02 | -0.05 | 0.8x | 181 | 48% |
| ROC 모멘텀 n=133, threshold=0 |
-2.8% | -44.3% | -0.11 | -0.06 | 0.7x | 77 | 43% |
| MACD fast=14, slow=25, signal=8 |
-8.2% | -67.9% | -0.42 | -0.12 | 0.4x | 221 | 52% |
| Buy and hold | -3.4% | -60.2% | -0.05 | -0.06 | 0.7x | 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 35-day average price crosses above the 81-day average
- Sell — Sell (to cash) when the 35-day average falls below the 81-day average