Trend-Following Backtester · Guide · backtest 한국어
etf · AU
BetaShares Global Energy Companies ETF-Currency Hedged backtest
10 trend-following strategies were compared on the full daily history of BetaShares Global Energy Companies ETF-Currency Hedged. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.7%, MDD -23.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.2%, drawdown -66.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.5%, MDD -33.9%, Sharpe 0.42, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 4.7%, MDD -23.5%, exposure 54%).
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 98% n=8, threshold=-0.09 |
7.5% | -33.9% | 0.42 | 0.22 | 2.1x | 23 | 98% |
| SMA 크로스오버 fast=44, slow=193 |
4.7% | -23.5% | 0.35 | 0.20 | 1.6x | 15 | 54% |
| ADX / DI 방향성 period=12, threshold=35 |
2.2% | -10.0% | 0.35 | 0.22 | 1.3x | 26 | 8% |
| Supertrend period=19, mult=3.9 |
4.7% | -33.4% | 0.35 | 0.14 | 1.6x | 75 | 53% |
| EMA 크로스오버 fast=64, slow=219 |
4.6% | -28.1% | 0.35 | 0.16 | 1.6x | 13 | 55% |
| 볼린저 밴드 돌파 n=42, k=3.3 |
1.9% | -9.4% | 0.34 | 0.21 | 1.2x | 6 | 6% |
| Donchian 채널 돌파 entryN=14, exitN=73 |
3.4% | -41.6% | 0.26 | 0.08 | 1.4x | 37 | 82% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=25, mult=4 |
1.4% | -37.7% | 0.18 | 0.04 | 1.2x | 34 | 33% |
| MACD fast=11, slow=58, signal=10 |
0.8% | -46.5% | 0.13 | 0.02 | 1.1x | 157 | 50% |
| Parabolic SAR step=0.025, maxStep=0.3 |
-3.7% | -52.7% | -0.14 | -0.07 | 0.7x | 230 | 53% |
| Buy and hold | 5.2% | -66.6% | 0.32 | 0.08 | 1.7x | 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 8-day return is greater than -9%
- Sell — Sell when the 8-day return drops to -9% or below