Trend-Following Backtester · Guide · backtest 한국어
etf · CN
GF GEM ETF backtest
10 trend-following strategies were compared on the full daily history of GF GEM ETF. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.8%, MDD -24.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 8.0%, drawdown -55.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.8%, MDD -24.8%, Sharpe 0.76, 23% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 12.8%, MDD -24.8%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=28, k=2.3 |
12.8% | -24.8% | 0.76 | 0.52 | 3.1x | 32 | 23% |
| MACD fast=24, slow=51, signal=18 |
12.1% | -40.8% | 0.64 | 0.30 | 2.9x | 76 | 49% |
| Donchian 채널 돌파 entryN=110, exitN=71 |
12.4% | -33.3% | 0.63 | 0.37 | 2.9x | 6 | 44% |
| EMA 크로스오버 fast=54, slow=267 |
10.8% | -34.8% | 0.61 | 0.31 | 2.6x | 3 | 51% |
| SMA 크로스오버 fast=22, slow=213 |
10.6% | -32.2% | 0.59 | 0.33 | 2.5x | 9 | 53% |
| ROC 모멘텀 n=144, threshold=0.02 |
11.2% | -32.9% | 0.58 | 0.34 | 2.7x | 35 | 47% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=18, mult=2.4 |
8.8% | -24.8% | 0.57 | 0.36 | 2.2x | 34 | 21% |
| ADX / DI 방향성 period=18, threshold=32 |
5.5% | -13.0% | 0.53 | 0.42 | 1.6x | 18 | 10% |
| Supertrend period=20, mult=3.8 |
8.5% | -35.9% | 0.49 | 0.24 | 2.1x | 42 | 50% |
| Parabolic SAR step=0.04, maxStep=0.1 |
1.8% | -42.2% | 0.19 | 0.04 | 1.2x | 200 | 53% |
| Buy and hold | 8.0% | -55.9% | 0.42 | 0.14 | 2.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 28-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 28-day middle average