Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Betashares Global Quality Leaders ETF backtest
10 trend-following strategies were compared on the full daily history of Betashares Global Quality Leaders ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.3%, MDD -18.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -27.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.3%, MDD -18.0%, Sharpe 0.78, 84% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 10.0%, MDD -21.8%, exposure 84%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 10.0%p (CAGR 9.3%, MDD -18.0%, exposure 84%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=29, exitN=81 |
9.3% | -18.0% | 0.78 | 0.52 | 2.0x | 11 | 84% |
| ROC 모멘텀 n=144, threshold=-0.07 |
10.0% | -21.8% | 0.77 | 0.46 | 2.1x | 13 | 84% |
| EMA 크로스오버 fast=75, slow=141 |
9.2% | -20.5% | 0.74 | 0.45 | 2.0x | 5 | 77% |
| SMA 크로스오버 fast=58, slow=195 |
8.7% | -20.5% | 0.70 | 0.43 | 1.9x | 7 | 75% |
| Parabolic SAR step=0.005, maxStep=0.04 |
6.3% | -16.6% | 0.65 | 0.38 | 1.6x | 52 | 63% |
| Supertrend period=26, mult=4 |
6.2% | -15.5% | 0.61 | 0.40 | 1.6x | 45 | 67% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=17, mult=4 |
2.1% | -9.9% | 0.60 | 0.22 | 1.2x | 10 | 11% |
| ADX / DI 방향성 period=36, threshold=17 |
3.5% | -17.1% | 0.48 | 0.21 | 1.3x | 28 | 39% |
| 볼린저 밴드 돌파 n=57, k=2.2 |
2.4% | -17.4% | 0.35 | 0.14 | 1.2x | 28 | 37% |
| MACD fast=20, slow=35, signal=19 |
1.4% | -22.3% | 0.19 | 0.06 | 1.1x | 89 | 51% |
| Buy and hold | 10.9% | -27.9% | 0.76 | 0.39 | 2.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 29 days
- Sell — Sell when price breaks below the lowest low of the last 81 days