Trend-Following Backtester · Guide · backtest 한국어
etf · JP
iFreeETF China GBA100 backtest
10 trend-following strategies were compared on the full daily history of iFreeETF China GBA100. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 28.2%, MDD -28.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.5%, drawdown -76.6%).
Sharpe leader (same as main): Supertrend — CAGR 32.0%, MDD -54.7%, Sharpe 0.73, 47% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 26.5%p higher than buy and hold, while drawdown improves by 21.9%p (CAGR 28.2%, MDD -28.9%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=16, mult=3.7 |
32.0% | -54.7% | 0.73 | 0.59 | 4.5x | 25 | 47% |
| ROC 모멘텀 n=1, threshold=0.05 |
28.2% | -28.9% | 0.68 | 0.98 | 3.9x | 22 | 2% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=17, mult=1.2 |
17.9% | -59.4% | 0.54 | 0.30 | 2.5x | 52 | 23% |
| 볼린저 밴드 돌파 n=16, k=2.3 |
14.2% | -68.8% | 0.49 | 0.21 | 2.1x | 30 | 17% |
| ADX / DI 방향성 period=39, threshold=14 |
6.8% | -76.6% | 0.39 | 0.09 | 1.4x | 10 | 41% |
| Donchian 채널 돌파 entryN=119, exitN=6 |
5.1% | -69.5% | 0.34 | 0.07 | 1.3x | 10 | 5% |
| SMA 크로스오버 fast=64, slow=285 |
3.4% | -76.6% | 0.34 | 0.04 | 1.2x | 7 | 47% |
| MACD fast=19, slow=59, signal=19 |
3.3% | -75.8% | 0.34 | 0.04 | 1.2x | 49 | 41% |
| Parabolic SAR step=0.015, maxStep=0.36 |
2.2% | -61.0% | 0.31 | 0.04 | 1.1x | 97 | 47% |
| EMA 크로스오버 fast=51, slow=212 |
-2.4% | -76.6% | 0.25 | -0.03 | 0.9x | 9 | 41% |
| Buy and hold | 5.5% | -76.6% | 0.38 | 0.07 | 1.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 16-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)