Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Global X S&P 500 Index Corporate Class ETF backtest
10 trend-following strategies were compared on the full daily history of Global X S&P 500 Index Corporate Class ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.5%, MDD -18.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.9%, drawdown -27.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.5%, MDD -18.3%, Sharpe 1.06, 89% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.2%, MDD -23.3%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 9.2%p (CAGR 13.5%, MDD -18.3%, exposure 89%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=79 |
13.5% | -18.3% | 1.06 | 0.74 | 7.2x | 23 | 89% |
| EMA 크로스오버 fast=29, slow=204 |
13.4% | -25.0% | 0.99 | 0.54 | 7.0x | 9 | 88% |
| ROC 모멘텀 Hold-like · Exposure 99% n=16, threshold=-0.1 |
14.2% | -23.3% | 0.98 | 0.61 | 7.8x | 15 | 99% |
| SMA 크로스오버 fast=9, slow=97 |
10.9% | -20.9% | 0.97 | 0.52 | 4.9x | 47 | 77% |
| Supertrend period=24, mult=4.9 |
7.7% | -18.2% | 0.77 | 0.42 | 3.1x | 63 | 70% |
| Parabolic SAR step=0.005, maxStep=0.02 |
6.9% | -20.8% | 0.67 | 0.33 | 2.8x | 77 | 74% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=15, mult=1.5 |
5.2% | -22.7% | 0.54 | 0.23 | 2.2x | 101 | 71% |
| 볼린저 밴드 돌파 n=57, k=1.5 |
4.3% | -15.6% | 0.50 | 0.27 | 1.9x | 86 | 58% |
| ADX / DI 방향성 period=36, threshold=15 |
1.7% | -22.5% | 0.28 | 0.08 | 1.3x | 75 | 34% |
| MACD fast=18, slow=51, signal=10 |
0.5% | -26.2% | 0.10 | 0.02 | 1.1x | 226 | 52% |
| Buy and hold | 15.9% | -27.4% | 0.99 | 0.58 | 9.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 79 days