Trend-Following Backtester · Guide · backtest 한국어
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Fubon NASDAQ-100 ETF backtest
10 trend-following strategies were compared on the full daily history of Fubon NASDAQ-100 ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 19.0%, drawdown -30.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.5%, MDD -28.2%, Sharpe 1.01, 75% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=15, slow=208 |
15.5% | -28.2% | 1.01 | 0.55 | 4.4x | 9 | 75% |
| EMA 크로스오버 fast=14, slow=107 |
15.1% | -28.2% | 0.98 | 0.53 | 4.2x | 21 | 78% |
| Supertrend period=11, mult=4.2 |
10.5% | -15.8% | 0.87 | 0.67 | 2.8x | 71 | 65% |
| Donchian 채널 돌파 entryN=96, exitN=68 |
12.1% | -22.0% | 0.85 | 0.55 | 3.2x | 15 | 71% |
| ROC 모멘텀 n=114, threshold=0.01 |
12.1% | -29.1% | 0.81 | 0.42 | 3.2x | 49 | 76% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=14, mult=4 |
6.4% | -20.5% | 0.65 | 0.31 | 1.9x | 44 | 46% |
| 볼린저 밴드 돌파 n=37, k=1.5 |
6.0% | -23.6% | 0.58 | 0.26 | 1.8x | 72 | 54% |
| Parabolic SAR step=0.005, maxStep=0.12 |
6.5% | -22.4% | 0.55 | 0.29 | 1.9x | 85 | 67% |
| MACD fast=16, slow=55, signal=13 |
4.9% | -22.9% | 0.46 | 0.22 | 1.6x | 130 | 53% |
| ADX / DI 방향성 period=15, threshold=31 |
0.8% | -11.9% | 0.20 | 0.07 | 1.1x | 26 | 10% |
| Buy and hold | 19.0% | -30.3% | 0.95 | 0.63 | 6.0x | 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 15-day average price crosses above the 208-day average
- Sell — Sell (to cash) when the 15-day average falls below the 208-day average