Trend-Following Backtester · Guide · backtest 한국어
etf · CN
GF STAR Market 50 Exchange Traded Fund backtest
10 trend-following strategies were compared on the full daily history of GF STAR Market 50 Exchange Traded Fund. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.4%, MDD -16.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.6%, drawdown -60.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.0%, MDD -18.3%, Sharpe 0.80, 20% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.7%p higher than buy and hold, while drawdown improves by 42.1%p (CAGR 11.4%, MDD -16.7%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=10, threshold=32 |
16.0% | -18.3% | 0.80 | 0.88 | 2.2x | 28 | 20% |
| Parabolic SAR step=0.005, maxStep=0.2 |
14.6% | -32.2% | 0.69 | 0.45 | 2.0x | 40 | 46% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=20, mult=1.5 |
13.0% | -18.9% | 0.67 | 0.69 | 1.9x | 28 | 23% |
| 볼린저 밴드 돌파 n=19, k=2.5 |
11.4% | -16.7% | 0.66 | 0.68 | 1.8x | 16 | 15% |
| MACD fast=14, slow=34, signal=19 |
11.6% | -42.4% | 0.58 | 0.27 | 1.8x | 53 | 44% |
| Donchian 채널 돌파 entryN=25, exitN=6 |
10.6% | -17.5% | 0.58 | 0.60 | 1.7x | 28 | 23% |
| Supertrend period=21, mult=2.5 |
10.1% | -24.0% | 0.54 | 0.42 | 1.7x | 42 | 40% |
| SMA 크로스오버 fast=12, slow=249 |
9.8% | -31.4% | 0.53 | 0.31 | 1.6x | 3 | 41% |
| ROC 모멘텀 n=115, threshold=-0.01 |
10.7% | -31.4% | 0.52 | 0.34 | 1.7x | 35 | 43% |
| EMA 크로스오버 fast=38, slow=202 |
9.5% | -31.4% | 0.52 | 0.30 | 1.6x | 3 | 40% |
| Buy and hold | -0.6% | -60.4% | 0.14 | -0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 10-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)