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. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.1%, MDD -24.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 7.1%, drawdown -55.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.1%, MDD -24.8%, Sharpe 0.80, 11% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.1%, MDD -33.3%, exposure 43%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 8.1%, MDD -24.8%, exposure 24%).
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=22, k=2.6 |
11.1% | -24.8% | 0.80 | 0.45 | 2.7x | 14 | 11% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=15, mult=2.1 |
10.2% | -24.8% | 0.71 | 0.41 | 2.5x | 32 | 13% |
| SMA 크로스오버 fast=26, slow=261 |
11.8% | -26.8% | 0.65 | 0.44 | 2.9x | 8 | 52% |
| Donchian 채널 돌파 entryN=111, exitN=71 |
12.1% | -33.3% | 0.63 | 0.36 | 2.9x | 6 | 43% |
| MACD fast=24, slow=54, signal=17 |
11.2% | -42.1% | 0.61 | 0.26 | 2.7x | 80 | 48% |
| ROC 모멘텀 n=145, threshold=0.04 |
11.0% | -32.9% | 0.58 | 0.33 | 2.7x | 42 | 46% |
| EMA 크로스오버 fast=59, slow=267 |
10.2% | -35.6% | 0.58 | 0.29 | 2.5x | 3 | 52% |
| ADX / DI 방향성 period=11, threshold=28 |
8.1% | -24.8% | 0.53 | 0.33 | 2.1x | 80 | 24% |
| Supertrend period=19, mult=3.7 |
9.0% | -30.1% | 0.51 | 0.30 | 2.3x | 44 | 52% |
| Parabolic SAR step=0.005, maxStep=0.02 |
7.6% | -35.2% | 0.45 | 0.21 | 2.0x | 48 | 50% |
| Buy and hold | 7.1% | -55.9% | 0.39 | 0.13 | 1.9x | 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 22-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 22-day middle average