Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck Semiconductor ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Semiconductor ETF. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.5%, MDD -34.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.6%, drawdown -85.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.5%, MDD -34.0%, Sharpe 0.71, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 51.9%p (CAGR 14.5%, MDD -34.0%, exposure 63%).
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=96 |
14.5% | -34.0% | 0.71 | 0.43 | 34.2x | 65 | 63% |
| EMA 크로스오버 fast=59, slow=206 |
11.9% | -34.8% | 0.62 | 0.34 | 18.7x | 25 | 64% |
| Donchian 채널 돌파 entryN=109, exitN=65 |
10.0% | -38.6% | 0.58 | 0.26 | 12.1x | 33 | 57% |
| ROC 모멘텀 n=147, threshold=-0.03 |
9.8% | -45.1% | 0.52 | 0.22 | 11.7x | 141 | 70% |
| Supertrend period=10, mult=3.8 |
4.7% | -55.2% | 0.32 | 0.09 | 3.3x | 138 | 55% |
| 볼린저 밴드 돌파 n=26, k=2.9 |
1.8% | -21.9% | 0.29 | 0.08 | 1.6x | 32 | 6% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=9, mult=3.6 |
1.5% | -30.1% | 0.23 | 0.05 | 1.5x | 46 | 10% |
| ADX / DI 방향성 period=31, threshold=10 |
1.9% | -74.3% | 0.19 | 0.03 | 1.6x | 306 | 48% |
| MACD fast=24, slow=48, signal=23 |
-3.0% | -84.0% | -0.02 | -0.04 | 0.4x | 266 | 50% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-3.0% | -86.9% | -0.02 | -0.03 | 0.5x | 262 | 57% |
| Buy and hold | 9.6% | -85.9% | 0.44 | 0.11 | 10.9x | 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 96-day average
- Sell — Sell (to cash) when the 59-day average falls below the 96-day average