Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Global X Japan Robotics & AI ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Japan Robotics & AI 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 -35.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.7%, MDD -30.9%, Sharpe 0.13, 50% 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=59, slow=141 |
0.7% | -30.9% | 0.13 | 0.02 | 1.0x | 9 | 50% |
| 볼린저 밴드 돌파 n=13, k=3.1 |
0.2% | -2.5% | 0.11 | 0.08 | 1.0x | 2 | 2% |
| EMA 크로스오버 fast=66, slow=149 |
-0.7% | -38.3% | 0.07 | -0.02 | 1.0x | 7 | 48% |
| Donchian 채널 돌파 entryN=12, exitN=71 |
-1.5% | -33.5% | 0.07 | -0.04 | 0.9x | 15 | 87% |
| ADX / DI 방향성 period=33, threshold=23 |
0.0% | -5.5% | 0.03 | 0.01 | 1.0x | 2 | 3% |
| Supertrend period=28, mult=3.9 |
-3.5% | -43.3% | -0.11 | -0.08 | 0.8x | 28 | 54% |
| ROC 모멘텀 n=82, threshold=-0.04 |
-5.5% | -49.0% | -0.17 | -0.11 | 0.7x | 49 | 72% |
| MACD fast=6, slow=22, signal=13 |
-8.1% | -43.9% | -0.36 | -0.18 | 0.6x | 100 | 50% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=19, mult=3.5 |
-4.5% | -24.0% | -0.45 | -0.19 | 0.8x | 4 | 1% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-11.5% | -56.5% | -0.55 | -0.20 | 0.5x | 102 | 54% |
| Buy and hold | 2.5% | -35.6% | 0.23 | 0.07 | 1.1x | 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 59-day average price crosses above the 141-day average
- Sell — Sell (to cash) when the 59-day average falls below the 141-day average