Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Global X MSCI SuperDividend Japan ETF backtest
10 trend-following strategies were compared on the full daily history of Global X MSCI SuperDividend Japan ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.0%, drawdown -19.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.5%, MDD -8.1%, Sharpe 1.00, 22% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.6%, MDD -14.7%, exposure 75%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=40, k=2.9 |
6.5% | -8.1% | 1.00 | 0.80 | 1.5x | 12 | 22% |
| Donchian 채널 돌파 entryN=20, exitN=36 |
10.6% | -14.7% | 0.86 | 0.72 | 1.8x | 15 | 75% |
| Supertrend period=27, mult=4 |
8.9% | -18.3% | 0.83 | 0.48 | 1.7x | 25 | 59% |
| SMA 크로스오버 fast=30, slow=68 |
9.7% | -19.6% | 0.74 | 0.49 | 1.7x | 21 | 61% |
| EMA 크로스오버 fast=56, slow=204 |
10.1% | -19.9% | 0.73 | 0.51 | 1.8x | 5 | 80% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=9, mult=3 |
4.4% | -14.3% | 0.62 | 0.31 | 1.3x | 21 | 25% |
| ROC 모멘텀 n=120, threshold=-0.03 |
7.3% | -23.0% | 0.59 | 0.32 | 1.5x | 23 | 84% |
| MACD fast=9, slow=65, signal=19 |
3.3% | -21.6% | 0.39 | 0.15 | 1.2x | 71 | 49% |
| ADX / DI 방향성 period=17, threshold=21 |
2.0% | -18.8% | 0.31 | 0.11 | 1.1x | 41 | 26% |
| Parabolic SAR step=0.005, maxStep=0.18 |
2.1% | -28.1% | 0.25 | 0.08 | 1.1x | 51 | 59% |
| Buy and hold | 15.0% | -19.6% | 0.95 | 0.77 | 2.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 40-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 40-day middle average