Trend-Following Backtester · Guide · backtest 한국어
etf · US
Amplify Cybersecurity ETF backtest
10 trend-following strategies were compared on the full daily history of Amplify Cybersecurity ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.2%, MDD -28.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.9%, drawdown -42.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.2%, MDD -28.0%, Sharpe 0.73, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 13.3%, MDD -39.7%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.7%p lower than buy and hold, while drawdown improves by 14.7%p (CAGR 11.2%, MDD -28.0%, exposure 65%).
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=7, slow=199 |
11.2% | -28.0% | 0.73 | 0.40 | 3.5x | 23 | 65% |
| SMA 크로스오버 fast=6, slow=280 |
10.6% | -29.1% | 0.69 | 0.36 | 3.3x | 23 | 67% |
| ROC 모멘텀 Hold-like · Exposure 99% n=3, threshold=-0.08 |
13.3% | -39.7% | 0.66 | 0.34 | 4.4x | 27 | 99% |
| Donchian 채널 돌파 entryN=52, exitN=56 |
9.2% | -32.3% | 0.62 | 0.28 | 2.8x | 23 | 67% |
| Supertrend period=18, mult=5 |
7.5% | -35.1% | 0.54 | 0.21 | 2.3x | 41 | 59% |
| 볼린저 밴드 돌파 n=55, k=2.7 |
3.6% | -19.2% | 0.44 | 0.19 | 1.5x | 17 | 16% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=18, mult=1.2 |
3.8% | -32.5% | 0.34 | 0.12 | 1.6x | 107 | 52% |
| ADX / DI 방향성 period=38, threshold=12 |
1.9% | -22.7% | 0.22 | 0.08 | 1.2x | 61 | 23% |
| MACD fast=13, slow=54, signal=6 |
-0.3% | -45.0% | 0.06 | -0.01 | 1.0x | 228 | 51% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-1.7% | -45.8% | -0.03 | -0.04 | 0.8x | 239 | 58% |
| Buy and hold | 13.9% | -42.7% | 0.67 | 0.33 | 4.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 7-day EMA crosses above the 199-day EMA
- Sell — Sell when the 7-day EMA falls below the 199-day EMA