Trend-Following Backtester · Guide · backtest 한국어
etf · US
SP Funds S&P 500 Sharia Industry Exclusions ETF backtest
10 trend-following strategies were compared on the full daily history of SP Funds S&P 500 Sharia Industry Exclusions 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 16.0%, MDD -17.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.8%, drawdown -30.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.0%, MDD -17.2%, Sharpe 1.14, 75% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 13.6%p (CAGR 16.0%, MDD -17.2%, exposure 75%).
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=57, slow=121 |
16.0% | -17.2% | 1.14 | 0.93 | 2.7x | 5 | 75% |
| SMA 크로스오버 fast=34, slow=194 |
14.8% | -17.7% | 1.11 | 0.84 | 2.5x | 5 | 70% |
| ROC 모멘텀 n=82, threshold=0.02 |
13.1% | -12.1% | 1.02 | 1.08 | 2.3x | 29 | 67% |
| Parabolic SAR step=0.005, maxStep=0.06 |
13.1% | -20.0% | 0.98 | 0.65 | 2.3x | 52 | 63% |
| Supertrend period=11, mult=3.6 |
11.6% | -21.4% | 0.97 | 0.54 | 2.1x | 36 | 60% |
| Donchian 채널 돌파 entryN=50, exitN=61 |
13.3% | -29.5% | 0.96 | 0.45 | 2.3x | 11 | 75% |
| MACD fast=28, slow=47, signal=26 |
10.5% | -24.7% | 0.87 | 0.42 | 1.9x | 44 | 52% |
| ADX / DI 방향성 period=29, threshold=13 |
9.3% | -16.9% | 0.81 | 0.55 | 1.8x | 52 | 52% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=25, mult=1.3 |
7.0% | -17.7% | 0.63 | 0.39 | 1.6x | 50 | 61% |
| 볼린저 밴드 돌파 n=44, k=1 |
6.1% | -18.5% | 0.57 | 0.33 | 1.5x | 48 | 57% |
| Buy and hold | 16.8% | -30.8% | 0.84 | 0.55 | 2.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 57-day EMA crosses above the 121-day EMA
- Sell — Sell when the 57-day EMA falls below the 121-day EMA