Trend-Following Backtester · Guide · backtest 한국어
etf · HK
Global X China Biotech ETF backtest
10 trend-following strategies were compared on the full daily history of Global X China Biotech ETF. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.6%, MDD -15.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.5%, drawdown -73.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.7%, MDD -38.4%, Sharpe 0.63, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 34.6%p (CAGR 4.6%, MDD -15.6%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=101, slow=161 |
12.7% | -38.4% | 0.63 | 0.33 | 2.3x | 3 | 42% |
| ADX / DI 방향성 period=21, threshold=25 |
4.6% | -15.6% | 0.52 | 0.30 | 1.4x | 8 | 8% |
| ROC 모멘텀 n=161, threshold=0.08 |
8.4% | -31.9% | 0.49 | 0.26 | 1.8x | 30 | 36% |
| SMA 크로스오버 fast=38, slow=163 |
7.0% | -50.9% | 0.42 | 0.14 | 1.6x | 12 | 47% |
| Supertrend period=12, mult=2.7 |
5.5% | -58.5% | 0.34 | 0.09 | 1.5x | 125 | 48% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=12, mult=3.4 |
3.1% | -44.7% | 0.25 | 0.07 | 1.2x | 36 | 36% |
| Parabolic SAR step=0.035, maxStep=0.18 |
2.4% | -54.9% | 0.23 | 0.04 | 1.2x | 146 | 49% |
| 볼린저 밴드 돌파 n=23, k=1.7 |
1.9% | -53.1% | 0.20 | 0.04 | 1.1x | 59 | 35% |
| Donchian 채널 돌파 entryN=45, exitN=63 |
1.2% | -53.6% | 0.17 | 0.02 | 1.1x | 17 | 53% |
| MACD fast=8, slow=32, signal=11 |
-2.5% | -67.8% | 0.04 | -0.04 | 0.8x | 118 | 47% |
| Buy and hold | 4.5% | -73.1% | 0.30 | 0.06 | 1.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 101-day EMA crosses above the 161-day EMA
- Sell — Sell when the 101-day EMA falls below the 161-day EMA