Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Global X S&P/TSX 60 Index Corporate Class ETF backtest
10 trend-following strategies were compared on the full daily history of Global X S&P/TSX 60 Index Corporate Class 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 8.1%, MDD -17.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.0%, drawdown -35.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.1%, MDD -17.8%, Sharpe 0.83, 81% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 17.7%p (CAGR 8.1%, MDD -17.8%, exposure 81%).
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=36, exitN=74 |
8.1% | -17.8% | 0.83 | 0.45 | 3.4x | 23 | 81% |
| EMA 크로스오버 fast=25, slow=197 |
7.4% | -21.1% | 0.76 | 0.35 | 3.1x | 17 | 77% |
| SMA 크로스오버 fast=9, slow=93 |
5.5% | -26.0% | 0.66 | 0.21 | 2.3x | 53 | 69% |
| 볼린저 밴드 돌파 n=76, k=1.2 |
4.5% | -29.1% | 0.63 | 0.15 | 2.0x | 63 | 59% |
| ROC 모멘텀 n=126, threshold=-0.04 |
5.3% | -26.8% | 0.55 | 0.20 | 2.2x | 57 | 83% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=24, mult=1.8 |
2.8% | -28.2% | 0.42 | 0.10 | 1.5x | 97 | 55% |
| Supertrend period=20, mult=4.8 |
3.1% | -27.0% | 0.39 | 0.12 | 1.6x | 71 | 68% |
| ADX / DI 방향성 period=27, threshold=33 |
0.2% | -2.3% | 0.15 | 0.07 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-0.4% | -45.3% | -0.00 | -0.01 | 0.9x | 233 | 63% |
| MACD fast=11, slow=51, signal=20 |
-2.4% | -41.2% | -0.26 | -0.06 | 0.7x | 216 | 50% |
| Buy and hold | 10.0% | -35.5% | 0.72 | 0.28 | 4.5x | 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 36 days
- Sell — Sell when price breaks below the lowest low of the last 74 days