Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Global X Cash Maximizer Corporate Class ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Cash Maximizer Corporate Class ETF. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. Its 95% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.5%, drawdown -2.2%).
Sharpe leader (same as main): Supertrend — CAGR 2.2%, MDD -2.3%, Sharpe 1.49, 95% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: SMA 크로스오버 — CAGR 2.3%, MDD -2.2%, exposure 91%.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend Hold-like · Exposure 95% period=9, mult=4.5 |
2.2% | -2.3% | 1.49 | 0.97 | 1.2x | 3 | 95% |
| SMA 크로스오버 fast=55, slow=136 |
2.3% | -2.2% | 1.48 | 1.08 | 1.2x | 2 | 91% |
| ROC 모멘텀 n=127, threshold=0 |
2.3% | -2.2% | 1.47 | 1.07 | 1.2x | 2 | 92% |
| EMA 크로스오버 Hold-like · Exposure 97% fast=40, slow=50 |
2.3% | -2.2% | 1.42 | 1.04 | 1.2x | 3 | 97% |
| Donchian 채널 돌파 Hold-like · Exposure 98% entryN=15, exitN=43 |
2.2% | -2.2% | 1.41 | 1.02 | 1.2x | 3 | 98% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=7, mult=2.7 |
1.4% | -2.6% | 0.94 | 0.53 | 1.1x | 10 | 77% |
| 볼린저 밴드 돌파 n=44, k=1.9 |
1.3% | -2.6% | 0.89 | 0.51 | 1.1x | 11 | 78% |
| ADX / DI 방향성 period=25, threshold=13 |
1.4% | -3.3% | 0.84 | 0.41 | 1.1x | 12 | 90% |
| Parabolic SAR step=0.015, maxStep=0.02 |
0.9% | -3.2% | 0.59 | 0.30 | 1.1x | 15 | 79% |
| MACD fast=53, slow=69, signal=40 |
-1.1% | -8.1% | -0.66 | -0.14 | 0.9x | 32 | 46% |
| Buy and hold | 2.5% | -2.2% | 1.58 | 1.14 | 1.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)