Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Global X US Dollar Currency ETF Trust Units backtest
10 trend-following strategies were compared on the full daily history of Global X US Dollar Currency ETF Trust Units. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.5%, drawdown -17.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.0%, MDD -19.5%, Sharpe 0.18, 79% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=25, exitN=79 |
1.0% | -19.5% | 0.18 | 0.05 | 1.2x | 37 | 79% |
| ROC 모멘텀 n=139, threshold=-0.04 |
0.9% | -27.8% | 0.17 | 0.03 | 1.2x | 49 | 86% |
| EMA 크로스오버 fast=26, slow=108 |
0.4% | -23.3% | 0.09 | 0.02 | 1.1x | 37 | 62% |
| 볼린저 밴드 돌파 n=53, k=3.1 |
0.2% | -6.5% | 0.08 | 0.02 | 1.0x | 10 | 6% |
| ADX / DI 방향성 period=30, threshold=30 |
0.1% | -7.3% | 0.06 | 0.01 | 1.0x | 8 | 3% |
| Supertrend period=21, mult=4.8 |
0.1% | -22.7% | 0.04 | 0.00 | 1.0x | 70 | 54% |
| SMA 크로스오버 fast=48, slow=217 |
-0.0% | -25.4% | 0.02 | -0.00 | 1.0x | 25 | 60% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=26, mult=3.9 |
-0.7% | -12.9% | -0.23 | -0.06 | 0.9x | 36 | 11% |
| MACD fast=24, slow=55, signal=22 |
-1.9% | -38.8% | -0.34 | -0.05 | 0.7x | 130 | 51% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-2.8% | -39.0% | -0.49 | -0.07 | 0.6x | 136 | 53% |
| Buy and hold | 2.5% | -17.6% | 0.38 | 0.14 | 1.5x | 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 25 days
- Sell — Sell when price breaks below the lowest low of the last 79 days