Trend-Following Backtester · Guide · backtest 한국어
etf · CN
Fullgoal SSE ETF Fund backtest
10 trend-following strategies were compared on the full daily history of Fullgoal SSE ETF Fund. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.0%, MDD -16.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR -6.6%, drawdown -86.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -2.4%, MDD -87.7%, Sharpe 1.17, 86% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 2.0%, MDD -16.5%, exposure 5%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by -1.2%p (CAGR 2.0%, MDD -16.5%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=84, threshold=-0.11 |
-2.4% | -87.7% | 1.17 | -0.03 | 0.7x | 157 | 86% |
| Donchian 채널 돌파 entryN=55, exitN=75 |
-14.8% | -96.7% | 1.13 | -0.15 | 0.1x | 20 | 66% |
| Supertrend period=4, mult=4.9 |
-45.1% | -100.0% | 1.00 | -0.45 | 0.0x | 50 | 58% |
| SMA 크로스오버 fast=70, slow=84 |
-33.3% | -99.9% | 1.00 | -0.33 | 0.0x | 86 | 54% |
| MACD fast=14, slow=48, signal=10 |
-75.9% | -100.0% | 0.74 | -0.76 | 0.0x | 227 | 51% |
| EMA 크로스오버 fast=52, slow=104 |
-76.3% | -100.0% | 0.69 | -0.76 | 0.0x | 42 | 48% |
| ADX / DI 방향성 period=19, threshold=37 |
2.0% | -16.5% | 0.30 | 0.12 | 1.4x | 12 | 5% |
| Parabolic SAR step=0.035, maxStep=0.24 |
-91.1% | -100.0% | 0.30 | -0.91 | 0.0x | 401 | 44% |
| 볼린저 밴드 돌파 n=39, k=0.7 |
-95.4% | -100.0% | -0.30 | -0.95 | 0.0x | 199 | 37% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=5, mult=3.9 |
-83.4% | -100.0% | -1.08 | -0.83 | 0.0x | 36 | 1% |
| Buy and hold | -6.6% | -86.5% | 1.17 | -0.08 | 0.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 84-day return is greater than -11%
- Sell — Sell when the 84-day return drops to -11% or below