Trend-Following Backtester · Guide · backtest 한국어
etf · US
Global X Lithium & Battery Tech ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Lithium & Battery Tech ETF. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.4%, MDD -23.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.9%, drawdown -67.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.8%, MDD -29.8%, Sharpe 0.72, 32% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 37.2%p (CAGR 5.4%, MDD -23.0%, exposure 17%).
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=56, k=1.8 |
10.8% | -29.8% | 0.72 | 0.36 | 5.1x | 50 | 32% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=29, mult=2.4 |
10.0% | -27.6% | 0.68 | 0.36 | 4.6x | 60 | 32% |
| Donchian 채널 돌파 entryN=70, exitN=20 |
9.1% | -28.0% | 0.63 | 0.33 | 4.1x | 42 | 30% |
| EMA 크로스오버 fast=14, slow=57 |
8.5% | -46.8% | 0.52 | 0.18 | 3.7x | 68 | 47% |
| ADX / DI 방향성 period=29, threshold=19 |
5.4% | -23.0% | 0.49 | 0.23 | 2.3x | 40 | 17% |
| ROC 모멘텀 n=132, threshold=0.12 |
6.5% | -38.0% | 0.46 | 0.17 | 2.7x | 66 | 28% |
| SMA 크로스오버 fast=10, slow=30 |
7.5% | -48.2% | 0.46 | 0.15 | 3.2x | 138 | 52% |
| Supertrend period=21, mult=5 |
6.7% | -52.9% | 0.44 | 0.13 | 2.8x | 60 | 50% |
| MACD fast=9, slow=78, signal=24 |
2.4% | -48.9% | 0.22 | 0.05 | 1.5x | 170 | 50% |
| Parabolic SAR step=0.01, maxStep=0.08 |
1.1% | -62.0% | 0.15 | 0.02 | 1.2x | 202 | 50% |
| Buy and hold | 4.9% | -67.0% | 0.31 | 0.07 | 2.1x | 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 56-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 56-day middle average