Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Global X Intl Developed Markets Equity Index Corporate Class ETF Developed Markets Equity Index Corporate Class ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Intl Developed Markets Equity Index Corporate Class ETF Developed Markets Equity Index Corporate Class ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.5%, MDD -14.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.3%, drawdown -28.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.5%, MDD -14.6%, Sharpe 0.71, 73% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 13.8%p (CAGR 7.5%, MDD -14.6%, exposure 73%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=18, slow=208 |
7.5% | -14.6% | 0.71 | 0.51 | 1.9x | 11 | 73% |
| SMA 크로스오버 fast=37, slow=112 |
7.1% | -19.9% | 0.67 | 0.36 | 1.8x | 15 | 68% |
| ROC 모멘텀 n=82, threshold=-0.03 |
7.1% | -15.9% | 0.66 | 0.44 | 1.8x | 41 | 79% |
| 볼린저 밴드 돌파 n=43, k=3.2 |
0.9% | -3.4% | 0.45 | 0.28 | 1.1x | 2 | 4% |
| Donchian 채널 돌파 entryN=74, exitN=73 |
3.0% | -16.1% | 0.36 | 0.19 | 1.3x | 15 | 61% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=3.8 |
1.1% | -12.1% | 0.18 | 0.09 | 1.1x | 35 | 39% |
| Supertrend period=20, mult=4.9 |
0.4% | -23.1% | 0.09 | 0.02 | 1.0x | 55 | 63% |
| ADX / DI 방향성 period=22, threshold=28 |
0.1% | -5.5% | 0.04 | 0.01 | 1.0x | 6 | 5% |
| MACD fast=26, slow=35, signal=24 |
-0.8% | -22.6% | -0.04 | -0.03 | 0.9x | 84 | 50% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-1.3% | -18.7% | -0.08 | -0.07 | 0.9x | 143 | 60% |
| Buy and hold | 8.3% | -28.4% | 0.60 | 0.29 | 2.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 18-day EMA crosses above the 208-day EMA
- Sell — Sell when the 18-day EMA falls below the 208-day EMA