Trend-Following Backtester · Guide · backtest 한국어
etf · HK
Global X China Robotics and AI ETF backtest
10 trend-following strategies were compared on the full daily history of Global X China Robotics and AI ETF. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.1%, MDD -17.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.6%, drawdown -51.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.1%, MDD -17.4%, Sharpe 0.38, 2% exposure.
CAGR reference leader: MACD — CAGR 5.8%, MDD -44.4%, exposure 47%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 34.4%p (CAGR 3.1%, MDD -17.4%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=22, mult=2.6 |
3.1% | -17.4% | 0.38 | 0.18 | 1.2x | 6 | 2% |
| 볼린저 밴드 돌파 n=16, k=2.9 |
3.7% | -23.1% | 0.38 | 0.16 | 1.2x | 6 | 3% |
| MACD fast=19, slow=41, signal=18 |
5.8% | -44.4% | 0.37 | 0.13 | 1.4x | 60 | 47% |
| Parabolic SAR step=0.01, maxStep=0.1 |
4.3% | -37.9% | 0.30 | 0.11 | 1.3x | 70 | 50% |
| Supertrend period=26, mult=4.5 |
3.9% | -33.6% | 0.29 | 0.12 | 1.3x | 26 | 50% |
| Donchian 채널 돌파 entryN=31, exitN=67 |
1.4% | -34.7% | 0.19 | 0.04 | 1.1x | 14 | 68% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.1 |
-0.4% | -51.9% | 0.15 | -0.01 | 1.0x | 5 | 100% |
| ADX / DI 방향성 period=8, threshold=30 |
0.3% | -41.1% | 0.11 | 0.01 | 1.0x | 74 | 26% |
| SMA 크로스오버 fast=13, slow=42 |
-0.1% | -38.3% | 0.11 | -0.00 | 1.0x | 40 | 49% |
| EMA 크로스오버 fast=55, slow=186 |
-0.5% | -34.5% | 0.10 | -0.02 | 1.0x | 7 | 49% |
| Buy and hold | 1.6% | -51.9% | 0.22 | 0.03 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 7-day average + 2.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average