Trend-Following Backtester · Guide · backtest 한국어
etf · CA
TD Global Technology Leaders Index ETF backtest
10 trend-following strategies were compared on the full daily history of TD Global Technology Leaders Index ETF. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.7%, MDD -25.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.4%, drawdown -35.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 14.4%, MDD -16.7%, Sharpe 1.16, 50% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 18.7%, MDD -25.0%, exposure 71%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.9%p lower than buy and hold, while drawdown improves by 18.8%p (CAGR 18.7%, MDD -25.0%, exposure 71%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=10, mult=2.5 |
14.4% | -16.7% | 1.16 | 0.87 | 2.7x | 34 | 50% |
| Donchian 채널 돌파 entryN=23, exitN=11 |
14.7% | -17.8% | 1.10 | 0.83 | 2.7x | 50 | 56% |
| Supertrend period=21, mult=4 |
14.8% | -25.1% | 1.08 | 0.59 | 2.7x | 37 | 60% |
| SMA 크로스오버 fast=34, slow=215 |
18.7% | -25.0% | 1.04 | 0.75 | 3.5x | 7 | 71% |
| ADX / DI 방향성 period=28, threshold=14 |
12.9% | -13.1% | 1.00 | 0.98 | 2.4x | 52 | 50% |
| EMA 크로스오버 fast=45, slow=120 |
18.3% | -25.0% | 1.00 | 0.73 | 3.4x | 9 | 74% |
| Parabolic SAR step=0.035, maxStep=0.04 |
15.0% | -22.2% | 0.99 | 0.68 | 2.8x | 69 | 67% |
| 볼린저 밴드 돌파 n=36, k=1.8 |
11.4% | -12.0% | 0.96 | 0.95 | 2.2x | 38 | 48% |
| ROC 모멘텀 n=57, threshold=-0.03 |
12.1% | -36.9% | 0.76 | 0.33 | 2.3x | 61 | 78% |
| MACD fast=23, slow=45, signal=19 |
7.9% | -32.2% | 0.63 | 0.25 | 1.7x | 68 | 49% |
| Buy and hold | 21.4% | -35.5% | 0.94 | 0.60 | 4.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 41-day average + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 41-day average