Trend-Following Backtester · Guide · backtest 한국어
etf · US
Northern Trust Morningstar Global Upstream Natural Resources ETF backtest
10 trend-following strategies were compared on the full daily history of Northern Trust Morningstar Global Upstream Natural Resources 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 2.7%, MDD -17.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.6%, drawdown -49.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.7%, MDD -17.0%, Sharpe 0.42, 21% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 32.6%p (CAGR 2.7%, MDD -17.0%, exposure 21%).
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=132, exitN=18 |
2.7% | -17.0% | 0.42 | 0.16 | 1.5x | 27 | 21% |
| 볼린저 밴드 돌파 n=77, k=2.5 |
2.1% | -13.5% | 0.35 | 0.16 | 1.4x | 14 | 17% |
| Supertrend period=8, mult=4.5 |
2.0% | -37.6% | 0.22 | 0.05 | 1.3x | 69 | 54% |
| SMA 크로스오버 fast=57, slow=198 |
2.0% | -42.4% | 0.22 | 0.05 | 1.3x | 19 | 55% |
| EMA 크로스오버 fast=29, slow=160 |
1.3% | -36.5% | 0.17 | 0.04 | 1.2x | 31 | 55% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=12, mult=1.6 |
1.0% | -37.4% | 0.14 | 0.03 | 1.2x | 93 | 45% |
| ROC 모멘텀 n=24, threshold=0.21 |
0.1% | -2.0% | 0.09 | 0.03 | 1.0x | 6 | 0% |
| MACD fast=13, slow=45, signal=17 |
-0.1% | -34.2% | 0.06 | -0.00 | 1.0x | 191 | 49% |
| ADX / DI 방향성 period=16, threshold=38 |
0.0% | -8.3% | 0.02 | 0.00 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-2.5% | -43.0% | -0.13 | -0.06 | 0.7x | 203 | 53% |
| Buy and hold | 3.6% | -49.7% | 0.28 | 0.07 | 1.7x | 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 132 days
- Sell — Sell when price breaks below the lowest low of the last 18 days