Trend-Following Backtester · Guide · backtest 한국어
etf · US
Columbia EM Core ex-China ETF backtest
10 trend-following strategies were compared on the full daily history of Columbia EM Core ex-China ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.9%, MDD -21.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.8%, drawdown -44.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.9%, MDD -21.4%, Sharpe 0.71, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR 9.9%, MDD -21.4%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=31, slow=181 |
9.9% | -21.4% | 0.71 | 0.46 | 2.8x | 15 | 65% |
| EMA 크로스오버 fast=37, slow=63 |
8.7% | -22.5% | 0.63 | 0.39 | 2.5x | 27 | 64% |
| Donchian 채널 돌파 entryN=50, exitN=76 |
6.9% | -32.3% | 0.50 | 0.21 | 2.1x | 19 | 70% |
| ROC 모멘텀 n=111, threshold=-0.03 |
6.7% | -31.8% | 0.49 | 0.21 | 2.0x | 65 | 73% |
| 볼린저 밴드 돌파 n=59, k=3.2 |
1.6% | -7.0% | 0.41 | 0.23 | 1.2x | 4 | 5% |
| Supertrend period=22, mult=4.9 |
3.0% | -28.8% | 0.28 | 0.10 | 1.4x | 54 | 58% |
| ADX / DI 방향성 period=34, threshold=14 |
1.1% | -28.7% | 0.16 | 0.04 | 1.1x | 54 | 33% |
| Parabolic SAR step=0.025, maxStep=0.1 |
-0.8% | -44.0% | 0.01 | -0.02 | 0.9x | 205 | 56% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=11, mult=1.4 |
-0.7% | -44.5% | 0.01 | -0.02 | 0.9x | 97 | 51% |
| MACD fast=17, slow=28, signal=30 |
-2.7% | -55.8% | -0.14 | -0.05 | 0.7x | 129 | 48% |
| Buy and hold | 8.8% | -44.0% | 0.51 | 0.20 | 2.5x | 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 31-day average price crosses above the 181-day average
- Sell — Sell (to cash) when the 31-day average falls below the 181-day average