Trend-Following Backtester · Guide · backtest 한국어
etf · CN
GF Nasdaq-100 ETF backtest
10 trend-following strategies were compared on the full daily history of GF Nasdaq-100 ETF. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.5%, MDD -31.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.5%, drawdown -78.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.5%, MDD -31.1%, Sharpe 0.93, 77% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 11.9%p higher than buy and hold, while drawdown improves by 47.6%p (CAGR 16.5%, MDD -31.1%, exposure 77%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=21, slow=211 |
16.5% | -31.1% | 0.93 | 0.53 | 5.5x | 11 | 77% |
| EMA 크로스오버 fast=71, slow=95 |
15.2% | -31.1% | 0.87 | 0.49 | 4.9x | 11 | 75% |
| ADX / DI 방향성 period=22, threshold=37 |
1.8% | -14.2% | 0.40 | 0.13 | 1.2x | 8 | 5% |
| Donchian 채널 돌파 Hold-like · Exposure 96% entryN=3, exitN=78 |
14.0% | -75.0% | 0.38 | 0.19 | 4.3x | 31 | 96% |
| MACD fast=16, slow=47, signal=19 |
9.2% | -77.3% | 0.33 | 0.12 | 2.7x | 106 | 52% |
| Supertrend period=28, mult=3.3 |
6.3% | -75.7% | 0.30 | 0.08 | 2.0x | 87 | 62% |
| ROC 모멘텀 n=13, threshold=-0.04 |
4.7% | -77.4% | 0.29 | 0.06 | 1.7x | 153 | 87% |
| Parabolic SAR step=0.02, maxStep=0.34 |
1.6% | -76.3% | 0.25 | 0.02 | 1.2x | 198 | 55% |
| 볼린저 밴드 돌파 n=42, k=1.2 |
-3.0% | -83.5% | 0.14 | -0.04 | 0.7x | 66 | 54% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=19, mult=2.2 |
-3.7% | -83.1% | 0.11 | -0.04 | 0.7x | 58 | 48% |
| Buy and hold | 4.5% | -78.7% | 0.34 | 0.06 | 1.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 21-day average price crosses above the 211-day average
- Sell — Sell (to cash) when the 21-day average falls below the 211-day average