Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Global X Cash Maximizer Corporate Class ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Cash Maximizer Corporate Class ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.5%, drawdown -2.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.4%, MDD -2.2%, Sharpe 1.50, 94% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=20, slow=101 |
2.4% | -2.2% | 1.50 | 1.10 | 1.2x | 2 | 94% |
| EMA 크로스오버 fast=6, slow=88 |
2.3% | -2.8% | 1.44 | 0.82 | 1.2x | 3 | 94% |
| Donchian 채널 돌파 Hold-like · Exposure 98% entryN=12, exitN=43 |
2.3% | -2.2% | 1.43 | 1.05 | 1.2x | 3 | 98% |
| Supertrend period=18, mult=3.7 |
1.8% | -2.3% | 1.22 | 0.78 | 1.1x | 7 | 84% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=8, mult=2.3 |
1.4% | -2.7% | 0.94 | 0.54 | 1.1x | 10 | 83% |
| 볼린저 밴드 돌파 n=41, k=1.9 |
1.3% | -2.6% | 0.84 | 0.49 | 1.1x | 12 | 79% |
| ADX / DI 방향성 period=25, threshold=14 |
1.4% | -3.3% | 0.83 | 0.41 | 1.1x | 12 | 92% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.5% | -4.0% | -0.30 | -0.13 | 1.0x | 33 | 68% |
| MACD fast=42, slow=66, signal=51 |
-1.2% | -8.2% | -0.69 | -0.15 | 0.9x | 32 | 47% |
| ROC 모멘텀 n=120, threshold=0.04 |
-0.4% | -2.3% | -0.78 | -0.16 | 1.0x | 4 | 1% |
| Buy and hold | 2.5% | -2.2% | 1.60 | 1.17 | 1.2x | 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 20-day average price crosses above the 101-day average
- Sell — Sell (to cash) when the 20-day average falls below the 101-day average