Trend-Following Backtester · Guide · backtest 한국어
etf · US
Defiance Quantum ETF backtest
10 trend-following strategies were compared on the full daily history of Defiance Quantum ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.5%, MDD -25.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 24.6%, drawdown -39.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.5%, MDD -25.6%, Sharpe 1.03, 74% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 13.7%p (CAGR 22.5%, MDD -25.6%, exposure 74%).
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=8, slow=185 |
22.5% | -25.6% | 1.03 | 0.88 | 5.0x | 13 | 74% |
| EMA 크로스오버 fast=17, slow=159 |
22.0% | -25.6% | 1.01 | 0.86 | 4.8x | 9 | 75% |
| Donchian 채널 돌파 entryN=15, exitN=54 |
21.0% | -40.7% | 0.97 | 0.52 | 4.5x | 24 | 83% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=19, mult=2.5 |
14.2% | -15.6% | 0.95 | 0.91 | 2.9x | 48 | 41% |
| ROC 모멘텀 n=127, threshold=-0.04 |
21.2% | -29.7% | 0.94 | 0.72 | 4.6x | 27 | 82% |
| Supertrend period=28, mult=4.2 |
16.0% | -36.5% | 0.90 | 0.44 | 3.2x | 48 | 64% |
| 볼린저 밴드 돌파 n=26, k=1.8 |
12.7% | -16.8% | 0.87 | 0.75 | 2.6x | 62 | 42% |
| MACD fast=8, slow=44, signal=19 |
12.7% | -35.4% | 0.77 | 0.36 | 2.6x | 112 | 50% |
| ADX / DI 방향성 period=16, threshold=18 |
8.4% | -28.8% | 0.59 | 0.29 | 1.9x | 94 | 41% |
| Parabolic SAR step=0.015, maxStep=0.32 |
6.6% | -43.8% | 0.43 | 0.15 | 1.7x | 146 | 59% |
| Buy and hold | 24.6% | -39.3% | 0.93 | 0.63 | 5.7x | 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 8-day average price crosses above the 185-day average
- Sell — Sell (to cash) when the 8-day average falls below the 185-day average