Trend-Following Backtester · Guide · backtest 한국어
etf · US
Global X NASDAQ 100 Covered Call ETF backtest
10 trend-following strategies were compared on the full daily history of Global X NASDAQ 100 Covered Call ETF. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.2%, MDD -2.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR -2.7%, drawdown -42.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -2.6%, Sharpe 0.15, 4% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 39.7%p (CAGR -0.2%, MDD -2.4%, exposure 1%).
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=36, threshold=16 |
0.1% | -2.6% | 0.15 | 0.06 | 1.0x | 4 | 4% |
| ROC 모멘텀 n=91, threshold=0.13 |
-0.0% | -2.9% | -0.02 | -0.01 | 1.0x | 8 | 1% |
| Donchian 채널 돌파 entryN=89, exitN=94 |
-1.7% | -29.3% | -0.19 | -0.06 | 0.8x | 17 | 46% |
| SMA 크로스오버 fast=38, slow=212 |
-3.0% | -39.5% | -0.24 | -0.08 | 0.7x | 21 | 48% |
| EMA 크로스오버 fast=50, slow=264 |
-2.6% | -39.4% | -0.26 | -0.07 | 0.7x | 13 | 41% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=28, mult=4 |
-0.2% | -2.4% | -0.29 | -0.08 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=17, k=3.5 |
-0.2% | -2.5% | -0.46 | -0.08 | 1.0x | 2 | 0% |
| MACD fast=35, slow=54, signal=46 |
-4.2% | -46.9% | -0.52 | -0.09 | 0.6x | 72 | 58% |
| Supertrend period=28, mult=4.4 |
-6.7% | -59.3% | -0.91 | -0.11 | 0.4x | 68 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-7.0% | -61.0% | -0.94 | -0.12 | 0.4x | 120 | 60% |
| Buy and hold | -2.7% | -42.3% | -0.11 | -0.06 | 0.7x | 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, 36-day) is ≥ 16
- Sell — Sell when direction flips or the trend weakens (ADX < 16)