Trend-Following Backtester · Guide · backtest 한국어
etf · HK
Samsung S&P GSCI Crude Oil ER Futures ETF backtest
10 trend-following strategies were compared on the full daily history of Samsung S&P GSCI Crude Oil ER Futures ETF. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.2%, MDD -6.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.5%, drawdown -89.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.6%, MDD -38.1%, Sharpe 0.53, 34% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 51.5%p (CAGR 1.2%, MDD -6.1%, exposure 1%).
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=115, exitN=63 |
9.6% | -38.1% | 0.53 | 0.25 | 2.6x | 12 | 34% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=13, mult=3.8 |
8.5% | -29.3% | 0.50 | 0.29 | 2.3x | 34 | 30% |
| ROC 모멘텀 n=138, threshold=0.14 |
8.3% | -32.9% | 0.48 | 0.25 | 2.3x | 51 | 31% |
| 볼린저 밴드 돌파 n=58, k=1.8 |
7.7% | -31.2% | 0.46 | 0.25 | 2.2x | 36 | 34% |
| SMA 크로스오버 fast=36, slow=111 |
8.0% | -42.3% | 0.44 | 0.19 | 2.2x | 24 | 52% |
| Supertrend period=27, mult=4 |
6.7% | -43.9% | 0.39 | 0.15 | 2.0x | 77 | 52% |
| ADX / DI 방향성 period=19, threshold=38 |
1.2% | -6.1% | 0.35 | 0.20 | 1.1x | 2 | 1% |
| EMA 크로스오버 fast=29, slow=129 |
5.2% | -43.4% | 0.33 | 0.12 | 1.7x | 23 | 48% |
| Parabolic SAR step=0.01, maxStep=0.2 |
1.6% | -67.5% | 0.19 | 0.02 | 1.2x | 117 | 53% |
| MACD fast=19, slow=59, signal=15 |
1.1% | -69.8% | 0.17 | 0.02 | 1.1x | 113 | 54% |
| Buy and hold | -1.5% | -89.6% | 0.19 | -0.02 | 0.9x | 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 115 days
- Sell — Sell when price breaks below the lowest low of the last 63 days