Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Global X FANG+ ETF backtest
10 trend-following strategies were compared on the full daily history of Global X FANG+ ETF. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 21.7%, MDD -16.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 20.6%, drawdown -45.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 21.6%, MDD -24.7%, Sharpe 1.18, 55% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 21.7%, MDD -16.4%, exposure 68%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 20.5%p (CAGR 21.7%, MDD -16.4%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=11, mult=1.7 |
21.6% | -24.7% | 1.18 | 0.87 | 3.5x | 28 | 55% |
| SMA 크로스오버 fast=42, slow=58 |
21.7% | -16.4% | 1.06 | 1.32 | 3.5x | 26 | 68% |
| EMA 크로스오버 fast=27, slow=29 |
18.8% | -35.6% | 0.97 | 0.53 | 3.0x | 26 | 64% |
| Supertrend period=23, mult=4.7 |
19.0% | -43.6% | 0.96 | 0.44 | 3.1x | 32 | 64% |
| 볼린저 밴드 돌파 n=56, k=1.6 |
16.6% | -24.6% | 0.96 | 0.67 | 2.7x | 26 | 51% |
| ROC 모멘텀 n=49, threshold=-0.03 |
18.9% | -30.7% | 0.93 | 0.62 | 3.0x | 58 | 72% |
| ADX / DI 방향성 period=25, threshold=9 |
15.5% | -35.8% | 0.89 | 0.43 | 2.5x | 68 | 56% |
| Donchian 채널 돌파 entryN=38, exitN=31 |
15.0% | -37.3% | 0.83 | 0.40 | 2.4x | 24 | 60% |
| MACD fast=23, slow=72, signal=15 |
10.8% | -35.6% | 0.68 | 0.30 | 1.9x | 52 | 45% |
| Parabolic SAR step=0.015, maxStep=0.12 |
0.9% | -45.4% | 0.15 | 0.02 | 1.1x | 104 | 58% |
| Buy and hold | 20.6% | -45.3% | 0.80 | 0.45 | 3.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 54-day average + 1.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 54-day average