Trend-Following Backtester · Guide · backtest 한국어
etf · TH
Digital Telecommunications Infrastructure Fund Units backtest
10 trend-following strategies were compared on the full daily history of Digital Telecommunications Infrastructure Fund Units. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 1.7%, MDD -40.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.1%, drawdown -58.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.2%, MDD -40.4%, Sharpe 0.33, 54% exposure.
Return/drawdown alternative: Supertrend — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 1.7%, MDD -40.3%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=52, slow=90 |
5.2% | -40.4% | 0.33 | 0.13 | 1.9x | 35 | 54% |
| Donchian 채널 돌파 entryN=63, exitN=51 |
3.7% | -40.4% | 0.26 | 0.09 | 1.6x | 19 | 51% |
| EMA 크로스오버 fast=40, slow=76 |
3.4% | -40.4% | 0.25 | 0.08 | 1.5x | 27 | 55% |
| ROC 모멘텀 n=149, threshold=-0.07 |
3.1% | -40.4% | 0.24 | 0.08 | 1.5x | 47 | 74% |
| Supertrend period=18, mult=4.5 |
1.7% | -40.3% | 0.19 | 0.04 | 1.2x | 33 | 63% |
| 볼린저 밴드 돌파 n=52, k=3 |
0.3% | -41.3% | 0.12 | 0.01 | 1.0x | 23 | 18% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=27, mult=2.6 |
-0.7% | -41.2% | 0.09 | -0.02 | 0.9x | 38 | 11% |
| ADX / DI 방향성 period=38, threshold=16 |
-0.9% | -40.3% | 0.08 | -0.02 | 0.9x | 43 | 21% |
| Parabolic SAR step=0.035, maxStep=0.22 |
-4.3% | -61.1% | -0.05 | -0.07 | 0.6x | 210 | 48% |
| MACD fast=14, slow=53, signal=13 |
-12.0% | -84.7% | -0.59 | -0.14 | 0.2x | 183 | 50% |
| Buy and hold | 0.1% | -58.9% | 0.14 | 0.00 | 1.0x | 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 52-day average price crosses above the 90-day average
- Sell — Sell (to cash) when the 52-day average falls below the 90-day average