Trend-Following Backtester · Guide · backtest 한국어
etf · US
First Trust Nasdaq Semiconductor ETF backtest
10 trend-following strategies were compared on the full daily history of First Trust Nasdaq Semiconductor ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 21.2%, MDD -32.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 27.2%, drawdown -44.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.9%, MDD -35.4%, Sharpe 0.86, 70% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.3%p lower than buy and hold, while drawdown improves by 8.7%p (CAGR 21.2%, MDD -32.6%, exposure 73%).
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=59, slow=184 |
22.9% | -35.4% | 0.86 | 0.65 | 7.8x | 9 | 70% |
| EMA 크로스오버 fast=49, slow=80 |
21.2% | -32.6% | 0.84 | 0.65 | 6.8x | 13 | 73% |
| Donchian 채널 돌파 entryN=48, exitN=71 |
18.0% | -32.6% | 0.74 | 0.55 | 5.2x | 17 | 76% |
| ROC 모멘텀 n=102, threshold=-0.03 |
16.7% | -32.6% | 0.69 | 0.51 | 4.7x | 69 | 76% |
| Supertrend period=26, mult=4.5 |
13.9% | -43.0% | 0.65 | 0.32 | 3.6x | 50 | 63% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=29, mult=1.1 |
10.7% | -38.7% | 0.57 | 0.28 | 2.7x | 102 | 55% |
| ADX / DI 방향성 period=36, threshold=8 |
10.1% | -54.5% | 0.53 | 0.19 | 2.6x | 114 | 60% |
| 볼린저 밴드 돌파 n=44, k=3.1 |
4.2% | -16.2% | 0.44 | 0.26 | 1.5x | 4 | 4% |
| Parabolic SAR step=0.02, maxStep=0.22 |
6.0% | -52.9% | 0.36 | 0.11 | 1.8x | 220 | 58% |
| MACD fast=19, slow=30, signal=15 |
2.3% | -61.7% | 0.21 | 0.04 | 1.2x | 136 | 49% |
| Buy and hold | 27.2% | -44.2% | 0.86 | 0.62 | 11.0x | 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 59-day average price crosses above the 184-day average
- Sell — Sell (to cash) when the 59-day average falls below the 184-day average