Trend-Following Backtester · Guide · backtest 한국어
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Cathay Taiwan 5G Plus ETF Units backtest
10 trend-following strategies were compared on the full daily history of Cathay Taiwan 5G Plus ETF Units. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 22.2%, MDD -22.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 23.0%, drawdown -36.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 22.2%, MDD -22.6%, Sharpe 1.15, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 14.0%p (CAGR 22.2%, MDD -22.6%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=13, slow=205 |
22.2% | -22.6% | 1.15 | 0.99 | 3.2x | 5 | 63% |
| SMA 크로스오버 fast=16, slow=205 |
22.0% | -22.6% | 1.14 | 0.97 | 3.1x | 7 | 61% |
| Supertrend period=13, mult=2.8 |
17.4% | -23.8% | 1.07 | 0.73 | 2.5x | 54 | 60% |
| Donchian 채널 돌파 entryN=64, exitN=67 |
20.4% | -22.6% | 1.06 | 0.90 | 2.9x | 7 | 66% |
| ROC 모멘텀 n=147, threshold=-0.02 |
19.1% | -22.6% | 1.01 | 0.84 | 2.7x | 29 | 65% |
| ADX / DI 방향성 period=31, threshold=8 |
15.1% | -19.9% | 0.94 | 0.76 | 2.2x | 50 | 54% |
| MACD fast=19, slow=85, signal=14 |
12.7% | -18.0% | 0.90 | 0.70 | 2.0x | 52 | 48% |
| Parabolic SAR step=0.01, maxStep=0.2 |
12.6% | -24.3% | 0.84 | 0.52 | 2.0x | 70 | 58% |
| 볼린저 밴드 돌파 n=51, k=1.1 |
11.9% | -21.5% | 0.84 | 0.55 | 1.9x | 32 | 50% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=21, mult=1.4 |
11.8% | -21.1% | 0.80 | 0.56 | 1.9x | 40 | 53% |
| Buy and hold | 23.0% | -36.6% | 0.99 | 0.63 | 3.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 13-day EMA crosses above the 205-day EMA
- Sell — Sell when the 13-day EMA falls below the 205-day EMA