Trend-Following Backtester · Guide · backtest 한국어
etf · US
Global X S&P 500 Covered Call ETF backtest
10 trend-following strategies were compared on the full daily history of Global X S&P 500 Covered Call ETF. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -3.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 0.2%, drawdown -34.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -3.2%, Sharpe 0.24, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.4%, MDD -24.3%, exposure 60%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 0.4%, MDD -3.2%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=26, threshold=30 |
0.4% | -3.2% | 0.24 | 0.11 | 1.0x | 4 | 3% |
| ROC 모멘텀 n=9, threshold=0.11 |
0.2% | -0.5% | 0.23 | 0.38 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=30, slow=156 |
0.4% | -24.3% | 0.08 | 0.01 | 1.0x | 21 | 60% |
| EMA 크로스오버 fast=65, slow=120 |
-0.7% | -26.7% | -0.04 | -0.03 | 0.9x | 21 | 59% |
| Donchian 채널 돌파 entryN=98, exitN=48 |
-0.5% | -16.0% | -0.06 | -0.03 | 0.9x | 21 | 44% |
| 볼린저 밴드 돌파 n=41, k=2.9 |
-0.1% | -2.5% | -0.13 | -0.03 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=16, mult=3.3 |
-0.3% | -5.1% | -0.28 | -0.06 | 1.0x | 4 | 1% |
| Supertrend period=26, mult=4.9 |
-2.8% | -37.0% | -0.36 | -0.07 | 0.7x | 49 | 58% |
| MACD fast=29, slow=56, signal=23 |
-4.0% | -44.0% | -0.60 | -0.09 | 0.6x | 106 | 55% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-6.3% | -59.6% | -0.83 | -0.11 | 0.4x | 132 | 63% |
| Buy and hold | 0.2% | -34.7% | 0.09 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 26-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)