Trend-Following Backtester · Guide · backtest 한국어
etf · AU
BetaShares Global Sustainability Leaders ETF backtest
10 trend-following strategies were compared on the full daily history of BetaShares Global Sustainability Leaders ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 11.3%, drawdown -25.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.6%, MDD -29.5%, Sharpe 0.80, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=17, threshold=-0.11 |
11.6% | -29.5% | 0.80 | 0.39 | 2.9x | 9 | 99% |
| Donchian 채널 돌파 entryN=25, exitN=76 |
8.5% | -23.1% | 0.69 | 0.37 | 2.2x | 17 | 84% |
| EMA 크로스오버 fast=51, slow=142 |
8.8% | -22.7% | 0.69 | 0.39 | 2.3x | 9 | 79% |
| SMA 크로스오버 fast=20, slow=161 |
7.7% | -23.4% | 0.66 | 0.33 | 2.1x | 19 | 73% |
| Supertrend period=26, mult=4.9 |
4.5% | -21.2% | 0.46 | 0.21 | 1.5x | 49 | 62% |
| MACD fast=29, slow=93, signal=36 |
2.3% | -30.0% | 0.28 | 0.08 | 1.2x | 56 | 50% |
| Parabolic SAR step=0.005, maxStep=0.28 |
2.4% | -29.7% | 0.27 | 0.08 | 1.3x | 78 | 64% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=25, mult=4 |
1.3% | -20.2% | 0.24 | 0.06 | 1.1x | 32 | 22% |
| ADX / DI 방향성 period=16, threshold=33 |
0.8% | -8.4% | 0.22 | 0.10 | 1.1x | 18 | 10% |
| 볼린저 밴드 돌파 n=26, k=1.8 |
1.3% | -24.8% | 0.20 | 0.05 | 1.1x | 78 | 42% |
| Buy and hold | 11.3% | -25.4% | 0.77 | 0.44 | 2.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 17-day return is greater than -11%
- Sell — Sell when the 17-day return drops to -11% or below