Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares PHLX SOX Semiconductor Sector Index Fund backtest
10 trend-following strategies were compared on the full daily history of iShares PHLX SOX Semiconductor Sector Index Fund. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.5%, MDD -29.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.9%, drawdown -70.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.3%, MDD -34.3%, Sharpe 0.71, 65% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 36.2%p (CAGR 12.5%, MDD -29.4%, exposure 58%).
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=24, slow=213 |
14.3% | -34.3% | 0.71 | 0.42 | 28.4x | 31 | 65% |
| Donchian 채널 돌파 entryN=106, exitN=56 |
12.5% | -29.4% | 0.68 | 0.42 | 18.9x | 32 | 58% |
| EMA 크로스오버 fast=43, slow=199 |
12.5% | -34.3% | 0.63 | 0.36 | 19.1x | 29 | 68% |
| ROC 모멘텀 n=148, threshold=-0.03 |
10.3% | -54.3% | 0.53 | 0.19 | 11.7x | 155 | 71% |
| Supertrend period=28, mult=4.8 |
6.9% | -39.0% | 0.41 | 0.18 | 5.3x | 96 | 61% |
| 볼린저 밴드 돌파 n=27, k=3.1 |
2.1% | -14.0% | 0.33 | 0.15 | 1.7x | 12 | 3% |
| ADX / DI 방향성 period=38, threshold=8 |
3.8% | -48.1% | 0.28 | 0.08 | 2.5x | 278 | 51% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=11, mult=1.6 |
2.8% | -54.0% | 0.24 | 0.05 | 2.0x | 200 | 50% |
| MACD fast=30, slow=46, signal=21 |
2.0% | -64.6% | 0.20 | 0.03 | 1.6x | 228 | 51% |
| Parabolic SAR step=0.005, maxStep=0.08 |
1.3% | -74.9% | 0.17 | 0.02 | 1.4x | 240 | 59% |
| Buy and hold | 12.9% | -70.5% | 0.53 | 0.18 | 20.7x | 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 24-day average price crosses above the 213-day average
- Sell — Sell (to cash) when the 24-day average falls below the 213-day average