Trend-Following Backtester · Guide · backtest 한국어
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Fuh Hwa China 5G Communication ETF backtest
10 trend-following strategies were compared on the full daily history of Fuh Hwa China 5G Communication ETF. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 30.0%, MDD -20.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 14.7%, drawdown -47.7%).
Sharpe leader (same as main): Supertrend — CAGR 30.0%, MDD -20.5%, Sharpe 1.26, 53% exposure.
Return/drawdown alternative: Supertrend — CAGR is 15.4%p higher than buy and hold, while drawdown improves by 27.2%p (CAGR 30.0%, MDD -20.5%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=3.3 |
30.0% | -20.5% | 1.26 | 1.46 | 4.9x | 38 | 53% |
| MACD fast=20, slow=43, signal=20 |
25.6% | -24.5% | 1.18 | 1.04 | 4.0x | 50 | 51% |
| Parabolic SAR step=0.01, maxStep=0.06 |
22.3% | -25.4% | 1.03 | 0.88 | 3.4x | 62 | 49% |
| EMA 크로스오버 fast=7, slow=26 |
22.2% | -22.2% | 0.98 | 1.00 | 3.4x | 52 | 53% |
| Donchian 채널 돌파 entryN=12, exitN=11 |
19.7% | -26.2% | 0.92 | 0.75 | 3.0x | 54 | 52% |
| 볼린저 밴드 돌파 n=28, k=1.3 |
18.5% | -22.2% | 0.92 | 0.84 | 2.8x | 56 | 42% |
| SMA 크로스오버 fast=1, slow=94 |
21.1% | -28.6% | 0.91 | 0.74 | 3.2x | 32 | 52% |
| ADX / DI 방향성 period=13, threshold=21 |
17.2% | -22.8% | 0.90 | 0.76 | 2.6x | 64 | 36% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=23, mult=1.6 |
18.8% | -22.3% | 0.89 | 0.84 | 2.8x | 36 | 42% |
| ROC 모멘텀 n=29, threshold=-0.02 |
19.3% | -30.2% | 0.84 | 0.64 | 2.9x | 80 | 64% |
| Buy and hold | 14.7% | -47.7% | 0.60 | 0.31 | 2.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 3.3× band
- Sell — Sell when price drops below the trend line (flips down)