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. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 21.4%, MDD -16.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.6%, drawdown -45.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 20.4%, MDD -24.7%, Sharpe 1.13, 55% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 21.4%, MDD -16.4%, exposure 67%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 20.5%p (CAGR 21.4%, MDD -16.4%, exposure 67%).
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 |
20.4% | -24.7% | 1.13 | 0.83 | 3.4x | 30 | 55% |
| SMA 크로스오버 fast=42, slow=58 |
21.4% | -16.4% | 1.05 | 1.30 | 3.5x | 26 | 67% |
| 볼린저 밴드 돌파 n=56, k=1.6 |
16.3% | -24.6% | 0.96 | 0.66 | 2.7x | 26 | 50% |
| EMA 크로스오버 fast=27, slow=29 |
18.2% | -35.6% | 0.95 | 0.51 | 3.0x | 27 | 64% |
| Supertrend period=23, mult=4.7 |
18.4% | -43.6% | 0.94 | 0.42 | 3.0x | 33 | 64% |
| ROC 모멘텀 n=49, threshold=-0.03 |
18.1% | -30.7% | 0.90 | 0.59 | 3.0x | 62 | 72% |
| ADX / DI 방향성 period=25, threshold=9 |
14.7% | -35.8% | 0.85 | 0.41 | 2.4x | 70 | 56% |
| Donchian 채널 돌파 entryN=38, exitN=31 |
14.7% | -37.3% | 0.82 | 0.40 | 2.4x | 24 | 59% |
| MACD fast=23, slow=72, signal=15 |
10.5% | -35.6% | 0.67 | 0.30 | 1.9x | 53 | 46% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.1% | -45.4% | 0.16 | 0.03 | 1.1x | 105 | 58% |
| Buy and hold | 21.6% | -45.3% | 0.83 | 0.48 | 3.6x | 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