Trend-Following Backtester · Guide · backtest 한국어
etf · US
Global X MLP & Energy Infrastructure ETF backtest
10 trend-following strategies were compared on the full daily history of Global X MLP & Energy Infrastructure ETF. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 4.6%, MDD -29.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.0%, drawdown -77.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.8%, MDD -8.8%, Sharpe 0.50, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.9%, MDD -46.4%, exposure 89%.
Return/drawdown alternative: Supertrend — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 68.7%p (CAGR 4.6%, MDD -29.6%, exposure 61%).
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=55, k=3 |
2.8% | -8.8% | 0.50 | 0.32 | 1.4x | 4 | 7% |
| Donchian 채널 돌파 entryN=9, exitN=106 |
7.9% | -46.4% | 0.48 | 0.17 | 2.7x | 25 | 89% |
| Supertrend period=24, mult=3.9 |
4.6% | -29.6% | 0.37 | 0.16 | 1.8x | 67 | 61% |
| SMA 크로스오버 fast=59, slow=198 |
4.5% | -38.2% | 0.36 | 0.12 | 1.8x | 23 | 54% |
| EMA 크로스오버 fast=48, slow=153 |
3.4% | -42.6% | 0.29 | 0.08 | 1.5x | 19 | 59% |
| ROC 모멘텀 n=122, threshold=0.04 |
1.3% | -41.6% | 0.16 | 0.03 | 1.2x | 93 | 46% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=12, mult=2.4 |
0.8% | -34.3% | 0.12 | 0.02 | 1.1x | 60 | 38% |
| ADX / DI 방향성 period=37, threshold=19 |
0.2% | -16.7% | 0.06 | 0.01 | 1.0x | 16 | 7% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-3.2% | -61.9% | -0.12 | -0.05 | 0.7x | 246 | 55% |
| MACD fast=17, slow=34, signal=16 |
-4.2% | -65.4% | -0.20 | -0.06 | 0.6x | 178 | 49% |
| Buy and hold | 4.0% | -77.5% | 0.28 | 0.05 | 1.7x | 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 55-day average (3× volatility)
- Sell — Sell when the close falls back to the 55-day middle average