Trend-Following Backtester · Guide · backtest 한국어
etf · US
Global X Data Center & Digital Infrastructure ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Data Center & Digital Infrastructure ETF. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.8%, MDD -22.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.4%, drawdown -39.6%).
Sharpe leader (same as main): Supertrend — CAGR 10.8%, MDD -22.6%, Sharpe 0.77, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 17.1%p (CAGR 10.8%, MDD -22.6%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=2.1 |
10.8% | -22.6% | 0.77 | 0.48 | 1.8x | 66 | 58% |
| ROC 모멘텀 n=119, threshold=-0.03 |
9.6% | -32.2% | 0.64 | 0.30 | 1.7x | 27 | 69% |
| 볼린저 밴드 돌파 n=26, k=1.7 |
6.6% | -25.4% | 0.57 | 0.26 | 1.4x | 50 | 43% |
| MACD fast=11, slow=41, signal=10 |
7.3% | -27.6% | 0.56 | 0.26 | 1.5x | 90 | 48% |
| SMA 크로스오버 fast=52, slow=207 |
7.5% | -25.0% | 0.52 | 0.30 | 1.5x | 7 | 57% |
| EMA 크로스오버 fast=47, slow=110 |
7.4% | -26.1% | 0.52 | 0.28 | 1.5x | 7 | 63% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=14, mult=1.4 |
5.4% | -17.7% | 0.45 | 0.30 | 1.4x | 46 | 50% |
| Donchian 채널 돌파 entryN=111, exitN=78 |
3.4% | -21.6% | 0.31 | 0.16 | 1.2x | 7 | 39% |
| Parabolic SAR step=0.01, maxStep=0.34 |
1.8% | -28.5% | 0.19 | 0.06 | 1.1x | 84 | 57% |
| ADX / DI 방향성 period=8, threshold=19 |
-0.3% | -30.6% | 0.05 | -0.01 | 1.0x | 140 | 50% |
| Buy and hold | 11.4% | -39.6% | 0.60 | 0.29 | 1.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 2.1× band
- Sell — Sell when price drops below the trend line (flips down)