Trend-Following Backtester · Guide · backtest 한국어
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CTBC Taiwan ESG Leading Semiconductor ETF Units backtest
10 trend-following strategies were compared on the full daily history of CTBC Taiwan ESG Leading Semiconductor ETF Units. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 20.3%, MDD -24.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 16.9%, drawdown -46.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 20.6%, MDD -24.0%, Sharpe 1.05, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 22.9%p (CAGR 20.3%, MDD -24.0%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=41, slow=217 |
20.6% | -24.0% | 1.05 | 0.86 | 2.7x | 3 | 60% |
| SMA 크로스오버 fast=44, slow=181 |
20.3% | -24.0% | 1.04 | 0.85 | 2.7x | 5 | 53% |
| Donchian 채널 돌파 entryN=64, exitN=69 |
18.3% | -25.9% | 0.96 | 0.70 | 2.4x | 5 | 58% |
| ROC 모멘텀 n=250, threshold=-0.05 |
17.1% | -26.7% | 0.91 | 0.64 | 2.3x | 17 | 55% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=10, mult=2.9 |
13.0% | -17.1% | 0.84 | 0.76 | 1.9x | 20 | 45% |
| Supertrend period=23, mult=2.3 |
13.1% | -20.3% | 0.81 | 0.65 | 1.9x | 72 | 60% |
| Parabolic SAR step=0.025, maxStep=0.22 |
11.6% | -25.7% | 0.77 | 0.45 | 1.8x | 114 | 54% |
| MACD fast=15, slow=56, signal=19 |
11.0% | -27.8% | 0.73 | 0.39 | 1.7x | 52 | 51% |
| 볼린저 밴드 돌파 n=22, k=2.6 |
6.4% | -11.5% | 0.72 | 0.55 | 1.4x | 14 | 12% |
| ADX / DI 방향성 period=32, threshold=12 |
10.0% | -22.9% | 0.67 | 0.43 | 1.7x | 36 | 41% |
| Buy and hold | 16.9% | -46.8% | 0.74 | 0.36 | 2.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 41-day EMA crosses above the 217-day EMA
- Sell — Sell when the 41-day EMA falls below the 217-day EMA