Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Global X Ultra Short Nasdaq 100 Hedge Fund backtest
10 trend-following strategies were compared on the full daily history of Global X Ultra Short Nasdaq 100 Hedge Fund. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.4%, MDD -25.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR -0.3%, drawdown -89.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.4%, MDD -25.3%, Sharpe 0.42, 6% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 63.8%p (CAGR 6.4%, MDD -25.3%, exposure 6%).
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=37, threshold=30 |
6.4% | -25.3% | 0.42 | 0.25 | 1.5x | 2 | 6% |
| SMA 크로스오버 fast=56, slow=230 |
-0.1% | -54.9% | 0.18 | -0.00 | 1.0x | 4 | 26% |
| ROC 모멘텀 n=109, threshold=0.14 |
-3.3% | -45.6% | 0.06 | -0.07 | 0.8x | 24 | 16% |
| EMA 크로스오버 fast=47, slow=75 |
-7.2% | -61.0% | -0.03 | -0.12 | 0.6x | 8 | 24% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
-3.5% | -36.5% | -0.03 | -0.10 | 0.8x | 6 | 8% |
| Donchian 채널 돌파 entryN=117, exitN=63 |
-7.4% | -57.9% | -0.09 | -0.13 | 0.6x | 6 | 17% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=27, mult=3.6 |
-11.1% | -62.9% | -0.21 | -0.18 | 0.5x | 16 | 15% |
| Supertrend period=9, mult=4.9 |
-19.4% | -76.5% | -0.27 | -0.25 | 0.3x | 36 | 41% |
| Parabolic SAR step=0.035, maxStep=0.1 |
-21.9% | -79.4% | -0.40 | -0.28 | 0.2x | 118 | 36% |
| MACD fast=19, slow=52, signal=12 |
-25.3% | -85.1% | -0.45 | -0.30 | 0.2x | 70 | 51% |
| Buy and hold | -0.3% | -89.1% | 0.36 | -0.00 | 1.0x | 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, 37-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)